Related papers: Dynamic optimization and its relation to classical…
We first review the application of Dirac's method to the dynamics of a classical particle constrained to a circle and its subsequent quantization. Then, we extend the analysis to a particle constrained to move on an ellipse. Particularly,…
In this paper, we analyze classical and quantum physical systems from an optimal control perspective. Specifically, we explore whether their associated dynamics can correspond to an open or closed-loop feedback evolution of a control…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
It is strange but fruitful to think about the functions as random processes. Any function can be viewed as a martingale (in many different ways) with discrete time. But it can be useful to have continuous time too. Processes can emulate…
We provide several quantum algorithms for continuous optimization that do not require gradient estimation. Instead, we encode the optimization problem into the dynamics of a physical system and coherently simulate the time evolution. We…
We consider the problem of constrained motion along a conic path under a given external potential function. The model is described as a second-class system capturing the behavior of a certain class of specific quantum field theories. By…
We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…
This paper formulates optimal control problems for rigid bodies in a geometric manner and it presents computational procedures based on this geometric formulation for numerically solving these optimal control problems. The dynamics of each…
The purpose of this work is to study an optimal control problem for a semilinear elliptic partial differential equation with a linear combination of Dirac measures as a forcing term; the control variable corresponds to the amplitude of such…
A number of optimization algorithms have been inspired by the physics of Newtonian motion. Here, we ask the question: do algorithms themselves obey some ``natural laws of motion,'' and can they be derived by an application of these laws? We…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
The optimal control problem for open quantum systems can be formulated as a time-dependent Lindbladian that is parameterized by a number of time-dependent control variables. Given an observable and an initial state, the goal is to tune the…
Hybrid dynamical systems are systems which posses both continuous and discrete transitions. Assuming that the discrete transitions (resets) occur a finite number of times, the optimal control problem can be solved by gluing together the…
We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…
We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian formulations, and allowing for the law of the control process…
This paper aims to introduce a concept of an equilibrium point of a dynamical system which will call it almost global asymptotically stable. A biological prey-predator model is also analyzed with a modification function growth in prey…
The classical and quantum dynamics of two particles constrained on $S^1$ is discussed via Dirac's approach. We show that when state is maximally entangled between two subsystems, the product of dispersion in the measurement reduces. We also…