Related papers: Infinite-horizon problems under periodicity constr…
We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the problem, the random horizon is chosen solely by the principal…
We consider the nonlinear Schrodinger equation, with mass-critical nonlinearity, focusing or defocusing. For any given angle, we establish the existence of infinitely many functions on which the scattering operator acts as a rotation of…
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…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…
A class of infinite horizon optimal control problems involving mixed quasi-norms of $L^p$-type cost functionals for the controls is discussed. These functionals enhance sparsity and switching properties of the optimal controls. The…
We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…
In this paper, we present a stochastic augmented Lagrangian approach on (possibly infinite-dimensional) Riemannian manifolds to solve stochastic optimization problems with a finite number of deterministic constraints.We investigate the…
The behaviour of a stochastic dynamical system may be largely influenced by those low-probability, yet extreme events. To address such occurrences, this paper proposes an infinite-horizon risk-constrained Linear Quadratic Regulator (LQR)…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
In this paper we investigate necessary conditions of optimality for infinite-horizon optimal control problems with overtaking optimality as an optimality criterion. For the case of local Lipschitz continuity of the payoff function, we…
We discuss first order optimality conditions for geometric optimization problems with Neumann boundary conditions and boundary observation. The methods we develop here are applicable to large classes of state systems or cost functionals.…
In this paper we consider three minimization problems, namely quadratic, $\rho$-convex and quadratic fractional programing problems. The quadratic problem is considered with quadratic inequality constraints with bounded continuous and…
In this paper, we consider undiscouted infinite-horizon optimal control for deterministic systems with an uncountable state and input space. We specifically address the case when the classic value iteration does not converge. For such…
This paper generalizes a previously-conceived, continuation-based optimization technique for scalar objective functions on constraint manifolds to cases of periodic and quasiperiodic solutions of delay-differential equations. A Lagrange…
Lagrangian-based methods are classical methods for solving convex optimization problems with equality constraints. We present novel prediction-correction frameworks for such methods and their variants, which can achieve $O(1/k)$ non-ergodic…
In this paper, we consider nonlinear optimization problems with nonlinear equality constraints and bound constraints on the variables. For the solution of such problems, many augmented Lagrangian methods have been defined in the literature.…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
This paper concerns a class of infinite horizon optimal control problems with state constraints. By extending the needle variation method to the infinite horizon case we obtain a complete set of necessary optimality conditions for a strong…