Related papers: Discrete-Time Approximation of Risk-Averse Control…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
A number of important modern applications in optimal control can be formulated as open loop control problems in which the underlying dynamical systems are subject to random inputs. These so-called ensemble control problems require the…
The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a…
A direct numerical solution of the radiative transfer equation or any kinetic equation is typically expensive, since the radiative intensity depends on time, space and direction. An expansion in the direction variables yields an equivalent…
This paper addresses a new class of optimal control problems for perturbed sweeping processes with measurable controls in additive perturbations of the dynamics and smooth controls in polyhedral moving sets. We develop a constructive…
This paper is concerned with the optimal control of hysteresis-reaction-diffusion systems. We study a control problem with two sorts of controls, namely distributed control functions, or controls which act on a part of the boundary of the…
Safety is one of the fundamental challenges in control theory. Recently, multi-step optimal control problems for discrete-time dynamical systems were formulated to enforce stability, while subject to input constraints as well as…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
This papers shows the convergence of optimal control problems where the constraint function is discretised by a particle method. In particular, we investigate the viscous Burgers equation in the whole space $\mathbb R$ by using…
This paper proposes an iterative distributionally robust model predictive control (MPC) scheme to solve a risk-constrained infinite-horizon optimal control problem. In each iteration, the algorithm generates a trajectory from the starting…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
This paper studies (single-time and multitime) optimal control problems on a nonholonomic manifold (described either by the kernel of a Gibbs-Pfaff form or by the span of appropriate vector fields). For both descriptions we analyse:…
Problem of time-optimal control of linear systems with fractional dynamics is treated in the paper from the convex-analytic standpoint. A linear system of fractional differential equations involving Riemann--Liouville derivatives is…