Related papers: On Lipschitz continuity of value functions for inf…
This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…
In the present paper, the maximum principle for finite horizon state constrained problems from the book by R. Vinter [\textit{Optimal Control}, Birkh\"auser, Boston, 2000; Theorem~9.3.1] is analyzed via parametric examples. The latter has…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
In this paper, we are concerned with optimal control problems evolved on Riemannian manifolds, where the initial and final states satisfy some inequality and equality type constraints, and the control set is a separable metric space. We…
In this paper, we analyse control affine optimal control problems with a cost functional involving the absolute value of the control. The Pontryagin extremals associated with such systems are given by (possible) concatenations of bang arcs…
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…
In the present paper, the maximum principle for finite horizon state constrained problems from the book by R. Vinter [\textit{Optimal Control}, Birkh\"auser, Boston, 2000; Theorem~9.3.1] is analyzed via parametric examples. The latter has…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…
Estimation of convex functions finds broad applications in engineering and science, while convex shape constraint gives rise to numerous challenges in asymptotic performance analysis. This paper is devoted to minimax optimal estimation of…
We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but whose joint distribution is not. We establish and exploit an…
Since the second half of the 20th century, Pontryagin's Maximum Principle has been widely discussed and used as a method to solve optimal control problems in medicine, robotics, finance, engineering, astronomy. Here, we focus on the proof…
In this work, the notions of normal cones at infinity to unbounded sets and limiting and singular subdifferentials at infinity for extended real value functions are introduced. Various calculus rules for these notions objects are…
The key element of the approach to the theory of necessary conditions in optimal control discussed in the paper is reduction of the original constrained problem to unconstrained minimization with subsequent application of a suitable…
This paper is dedicated to the stability analysis of the optimal solutions of a control problem associated with a semilinear elliptic equation. The linear differential operator of the equation is neither monotone nor coercive due to the…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
Energy storage scheduling problems, where a storage is operated to maximize its profit in response to a price signal, are essentially infinite-horizon optimization problems as storage systems operate continuously, without a foreseen end to…
This paper introduces a framework for solving time-autonomous nonlinear infinite horizon optimal control problems, under the assumption that all minimizers satisfy Pontryagin's necessary optimality conditions. In detail, we use methods from…