Related papers: Stochastic Optimal Control with Delay in the Contr…
Feedback control (based on the quantum continuous measurement) of quantum systems inevitably suffers from estimation delays. In this paper we give a delay-dependent stability criterion for a wide class of nonlinear stochastic systems…
This paper presents the optimal control and synchronization problem of a multilevel network of R\"ossler chaotic oscillators. Using the Hamilton-Jacobi-Bellman (HJB) technique, the optimal control law with three-state variables feedback is…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
We address the problem of combined stochastic and impulse control for a market maker operating in a limit order book. The problem is formulated as a Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI). We propose an implicit…
We consider the optimal control of solutions of first order Hamilton-Jacobi equations, where the Hamiltonian is convex with linear growth. This models the problem of steering the propagation of a front by constructing an obstacle. We prove…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
We give answer to an open question by proving a sufficient optimality condition for state-linear optimal control problems with time delays in state and control variables. In the proof of our main result, we transform a delayed state-linear…
Presented is a method to compute certain classes of Hamilton-Jacobi equations that result from optimal control and trajectory generation problems with time delays. Many robotic control and trajectory problems have limited information of the…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the extended Hamiltonian system which is essentially an FBSDE with a…
We introduce a regulated stochastic diffusion model for the recycling rate and formulate a joint control problem over production and process innovation via the dynamics of recycling investment and product pricing. The resulting stochastic…
We study the problem of generating control laws for systems with unknown dynamics. Our approach is to represent the controller and the value function with neural networks, and to train them using loss functions adapted from the…
Optimal control problems driven by evolutionary partial differential equations arise in many industrial applications and their numerical solution is known to be a challenging problem. One approach to obtain an optimal feedback control is…
The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state.…
This paper presents a novel method to synthesize stochastic control Lyapunov functions for a class of nonlinear, stochastic control systems. In this work, the classical nonlinear Hamilton-Jacobi-Bellman partial differential equation is…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
We study optimal proportional feedback controllers for spatially invariant systems when the controller has access to delayed state measurements received from different spatial locations. We analyze how delays affect the spatial locality of…
This paper presents a new methodology to craft navigation functions for nonlinear systems with stochastic uncertainty. The method relies on the transformation of the Hamilton-Jacobi-Bellman (HJB) equation into a linear partial differential…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…