Related papers: Optimality conditions and local regularity of the …
This paper addresses the time-optimal control problem for a class of control systems which includes controlled mechanical systems with possible dissipation terms. The Lie algebras associated with such mechanical systems enjoy certain…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
We address the issue of safe optimal path planning under parametric uncertainties using a novel regularizer that allows trading off optimality with safety. The proposed regularizer leverages the notion that collisions may be modeled as…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
The study is devoted to mathematical modeling and optimal control design of longitudinal motions of a rectilinear elastic rod. The control inputs are a force, which is normal to the cross section and distributed piecewise constantly along…
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…
We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the…
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…
To investigate solutions of (near-)optimal control problems, we extend and exploit a notion of homogeneity recently proposed in the literature for discrete-time systems. Assuming the plant dynamics is homogeneous, we first derive a scaling…
In this paper we consider the minimization of a continuous function that is potentially not differentiable or not twice differentiable on the boundary of the feasible region. By exploiting an interior point technique, we present first- and…
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
We consider optimal control problems with integer-valued controls and a total variation regularization penalty in the objective on domains of dimension two or higher. The penalty yields that the feasible set is sequentially closed in the…
We consider homogenization problems in the framework of deterministic optimal control when the dynamics and running costs are completely different in two (or more) complementary domains of the space $\R^N$. For such optimal control…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When 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…
A problem of computing time-fuel optimal control for state transfer of a single input linear time invariant (LTI) system to the origin is considered. The input is assumed to be bounded. Since, the optimal control is bang-off-bang in nature,…