Related papers: Discrete-Time Approximation of Risk-Averse Control…
We consider a controlled reaction-diffusion equation, motivated by a pest eradication problem. Our goal is to derive a simpler model, describing the controlled evolution of a contaminated set. In this direction, the first part of the paper…
We develop a principled framework for analyzing and designing noise schedules in diffusion models. We show that one can recast this design problem as an optimal control problem, whose state is the Fisher information of the diffusion process…
This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…
We introduce a family of hybrid discretisations for the numerical approximation of optimal control problems governed by the equations of immiscible displacement in porous media. The proposed schemes are based on mixed and discontinuous…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
We study optimal control of diffusions with slow and fast variables and address a question raised by practitioners: is it possible to first eliminate the fast variables before solving the optimal control problem and then use the optimal…
We study an optimal control problem of McKean--Vlasov branching diffusion processes, in which the interaction term is determined by the marginal measure induced by all alive particles in the system. Accordingly, the value function is…
In this paper, we aim to explore optimal regional trajectory tracking control problems of the anomalous subdiffusion processes governed by time-fractional diffusion systems under the Neumann boundary conditions. Using eigenvalue theory of…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
We study a linear-quadratic optimal control problem involving a parabolic equation with fractional diffusion and Caputo fractional time derivative of orders $s \in (0,1)$ and $\gamma \in (0,1]$, respectively. The spatial fractional…
An optimal control problem related to the probability of transition between stable states for a thermally driven Ginzburg-Landau equation is considered. The value function for the optimal control problem with a spatial discretization is…