Related papers: Infinite-horizon problems under periodicity constr…

Isoperimetric problems consist in minimizing or maximizing a cost functional subject to an integral constraint. In this work, we present two fractional isoperimetric problems where the Lagrangian depends on a combined Caputo derivative of…

In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…

This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-emptiness of the admissible control set for all initial state is…

We advance a combined filtered/phase-field approach to topology optimization in the setting of linearized elasticity. Existence of minimizers is proved and rigorous parameter asymptotics are discussed by means of variational convergence…

The aim of the present text is twofold: to provide a compendium of Lagrangian and Hamiltonian geometries and to introduce and investigate new analytical Mechanics: Finslerian, Lagrangian and Hamiltonian. The fundamental equations (or…

We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve…

We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…

This paper proposes a new algorithm for solving constrained global optimization problems where both the objective function and constraints are one-dimensional non-differentiable multiextremal Lipschitz functions. Multiextremal constraints…

This document introduces a strategy to solve linear optimization problems. The strategy is based on the bounding condition each constraint produces on each one of the problem's dimension. The solution of a linear optimization problem is…

This paper addresses a class of general nonsmooth and nonconvex composite optimization problems subject to nonlinear equality constraints. We assume that a part of the objective function and the functional constraints exhibit local…

For optimization problems with nonlinear constraints, linearly constrained Lagrangian (LCL) methods sequentially minimize a Lagrangian function subject to linearized constraints. These methods converge rapidly near a solution but may not be…

In an infinite-horizon optimal control problem the stability of the adjoint variable implying the vanishing of the adjoint variable at infinity along optimal solution.

In this paper, we consider the linearly constrained composite convex optimization problem, whose objective is a sum of a smooth function and a possibly nonsmooth function. We propose an inexact augmented Lagrangian (IAL) framework for…

This two-part study is devoted to the analysis of the so-called exact augmented Lagrangians, introduced by Di Pillo and Grippo for finite dimensional optimization problems, in the case of optimization problems in Hilbert spaces. In the…

There are many important practical optimization problems whose feasible regions are not known to be nonempty or not, and optimizers of the objective function with the least constraint violation prefer to be found. A natural way for dealing…

We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundary is proved to be Lipschitz continuous on any closed…

An optimal control problem with an infinite horizon quadratic cost functional for a linear system with a known additive disturbance is considered. The feature of this problem is that a weight matrix of the control cost in the cost…

This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…

We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…

We study incommensurate fractional variational problems in terms of a generalized fractional integral with Lagrangians depending on classical derivatives and generalized fractional integrals and derivatives. We obtain necessary optimality…