Related papers: Optimal Control with State Constraints for Stochas…
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
Evolutionary strategies have recently been shown to achieve competing levels of performance for complex optimization problems in reinforcement learning. In such problems, one often needs to optimize an objective function subject to a set of…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
This work addresses the optimal birth control problem for invasive species in a spatial environment. We apply the method of semigroups to qualitatively analyze a size-structured population model in which individuals occupy a position in a…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
In this paper, we consider an optimal control problem for the two-dimensional evolutionary Navier-Stokes system. Looking for sparsity, we take controls as functions of time taking values in a space of Borel measures. The cost functional…
Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…
Enlightened from the inverse consideration of the stable continuous-time dynamics evolution, the Variation Evolving Method (VEM) analogizes the optimal solution to the equilibrium point of an infinite-dimensional dynamic system and solves…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
Motivated by the need to control the exponential growth of constraint violations in numerical solutions of the Einstein evolution equations, two methods are studied here for controlling this growth in general hyperbolic evolution systems.…
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…