Related papers: Infinite-horizon problems under periodicity constr…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
We present a powerful and easy-to-implement algorithm for solving constrained optimization problems that involve $L_1$/total-variation regularization terms, and both equality and inequality constraints. We discuss the relationship of our…
We investigate finite-dimensional constrained structured optimization problems, featuring composite objective functions and set-membership constraints. Offering an expressive yet simple language, this problem class provides a modeling…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
This paper presents an algorithm to solve the infinite horizon constrained linear quadratic regulator (CLQR) problem using operator splitting methods. First, the CLQR problem is reformulated as a (finite-time) model predictive control (MPC)…
We obtain necessary optimality conditions for variational problems with a Lagrangian depending on a Caputo fractional derivative, a fractional and an indefinite integral. Main results give fractional Euler-Lagrange type equations and…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
We give an effective sufficient condition for a variational problem with infinite horizon on a compact Riemannian manifold M to admit a smooth optimal synthesis, i. e. a smooth dynamical system on M whose positive semi-trajectories are…
Constrained optimization problems exist in many domains of science, such as thermodynamics, mechanics, economics, etc. These problems are classically solved with the help of the Lagrange multipliers and the Lagrangian function. However, the…
Constrained blackbox optimization is a difficult problem, with most approaches coming from the mathematical programming literature. The statistical literature is sparse, especially in addressing problems with nontrivial constraints. This…
This paper studies the infinite-horizon sensor scheduling problem for linear Gaussian processes with linear measurement functions. Several important properties of the optimal infinite-horizon schedules are derived. In particular, it is…
The solution of a constrained linear-quadratic regulator problem is determined by the set of its optimal active sets. We propose an algorithm that constructs this set of active sets for a desired horizon N from that for horizon N-1. While…
We consider problems of the calculus of variations on unbounded time scales. We prove the validity of the Euler-Lagrange equation on time scales for infinite horizon problems, and a new transversality condition.