Related papers: Optimality conditions for a controlled sweeping pr…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state.…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
We investigate how to control optimally a traffic flow through a junction on the line by acting only on speed reduction or traffic light at the junction. We show the existence of an optimal control and, under structure assumptions, provide…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
In many human-in-the-loop robotic applications such as robot-assisted surgery and remote teleoperation, predicting the intended motion of the human operator may be useful for successful implementation of shared control, guidance virtual…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
We consider a nonlinear system, affine with respect to an unbounded control $u$ which is allowed to range in a closed cone. To this system we associate a Bolza type minimum problem, with a Lagrangian having sublinear growth with respect to…
While Robust Model Predictive Control considers the worst-case system uncertainty, Stochastic Model Predictive Control, using chance constraints, provides less conservative solutions by allowing a certain constraint violation probability…
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…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
We propose a sampling-based trajectory optimization methodology for constrained problems. We extend recent works on stochastic search to deal with box control constraints,as well as nonlinear state constraints for discrete dynamical…
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…
We study the numerical realisation of optimal consensus control laws for agent-based models. For a nonlinear multi-agent system of Cucker-Smale type, consensus control is cast as a dynamic optimisation problem for which we derive…
Models involving hybrid systems are versatile in their application but difficult to optimize efficiently due to their combinatorial nature. This work presents a method to cope with hybrid optimal control problems which, in contrast to…
A stochastic optimal control problem for incompressible Newtonian channel flow past a circular cylinder is used as a prototype optimal control problem for the stochastic Navier-Stokes equations. The inlet flow and the rotation speed of the…
An optimal control problem subject to an elliptic obstacle problem is studied. We obtain a numerical approximation of this problem by discretising the PDE obtained via a Moreau--Yosida type penalisation. For the resulting discrete control…