Related papers: Pontryagin maximum principle for optimal sampled-d…
This work introduces a sequential convex programming framework for non-linear, finite-dimensional stochastic optimal control, where uncertainties are modeled by a multidimensional Wiener process. We prove that any accumulation point of the…
The paper presents an approach to studying optimal control problems in the space of nonnegative measures with dynamics given by a nonlocal balance law. This approach relies on transforming the balance law into a continuity equation in the…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryagin minimum principle involving forward-backward stochastic…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
We consider the free endpoint Mayer problem for a controlled Moreau process, the control acting as a perturbation of the dynamics driven by the normal cone, and derive necessary optimality conditions of Pontryagin's Maximum Principle type.…
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 studies multiobjective optimal control problems in the continuous-time framework when the space of states and the space of controls are infinite-dimensional and with lighter smoothness assumptions than the usual ones. The paper…
This paper presents an optimal control problem to analyze the efficacy of counter-terrorism tactics. We present an algorithm that efficiently combines the Minimum Principle of Pontryagin, the shooting method and the cyclic descent of…
This paper applies the Method of Successive Approximations (MSA) based on Pontryagin's principle to solve optimal control problems with state constraints for semilinear parabolic equations. Error estimates for the first and second…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
A Hamiltonian algorithm, both theoretical and numerical, to obtain the reduced equations implementing Pontryagine's Maximum Principle for singular linear-quadratic optimal control problems is presented. This algorithm is inspired on the…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
We obtain the dynamic programming equations and optimality conditions akin to Pontryagin's extremum principle for certain mathematical models of hybrid control systems.
We study an optimal control problem arising from a resource allocation problem in cellular metabolism. A minimalistic model that describes the production of enzymatic vs. non-enzymatic biomass components from a single nutrient source is…
In this paper, we investigate the closed-loop solvability of the quantum stochastic linear quadratic optimal control problem. We derive the Pontryagin maximum principle for the linear quadratic control problem of infinite-dimensional…
We consider an infinite time horizon spatially distributed optimal harvesting problem for a vegetation and soil water reaction diffusion system, with rainfall as the main external parameter. By Pontryagin's maximum principle we derive the…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional evolution equations with delay in the state. In the cost…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…