Related papers: Necessary Conditions for Infinite Horizon Optimal …
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly…
For an optimal control problem, the concept of a strong local infimum is introduce, for which necessary conditions consisting of some family of "maximum principles" are formulated. If a function delivers a strong local minimum in this…
Maximum hands-off control aims to maximize the length of time over which zero actuator values are applied to a system when executing specified control tasks. To tackle such problems, recent literature has investigated optimal control…
We provide a generalization of first-order necessary conditions of optimality for infinite-dimensional optimization problems with a finite number of inequality constraints and with a finite number of inequality and equality constraints. Our…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
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…
We obtain higher order necessary conditions for a minimum of a Mayer optimal control problem connected with a nonlinear, control-affine system, where the controls range on an m-dimensional Euclidean space. Since the allowed velocities are…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
We study deterministic nonstationary discrete-time optimal control problems in both finite and infinite horizon. With the aid of Gateaux differentials, we prove a discrete-time maximum principle in analogy with the well-known…
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…
The paper puts forward sufficient conditions for local controllability of a control dynamical system. The results obtained are meaningful in the case when the linear approximation to this system is not completely controllable. As a…
In this paper the necessary conditions of optimality in the form of maximum principle are derived for a very general class of variational problems. This class includes problems with any optimization criteria and constraints that can be…
In this paper we study an optimal control problem with nonsmooth mixed state and control constraints. In most of the existing results, the necessary optimality condition for optimal control problems with mixed state and control constraints…
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…
The first-order optimality conditions for a generic nonlinear optimization problem are generated as part of the terminal transversality conditions of an optimal control problem. It is shown that the Lagrangian of the optimization problem is…
This paper considers the infinite horizon optimal control problem for nonlinear systems. Under the condition of nonlinear controllability of the system to any terminal set containing the origin and forward invariance of the terminal set, we…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
In this work, we consider optimality conditions of an optimal control problem governed by an obstacle problem. Here, we focus on introducing a, matrix valued, control variable as the coefficients of the obstacle problem. As it is well…