Related papers: The connection between discrete and continuous sta…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
In this paper, we discuss the numerical approximation of a distributed optimal control problem governed by the von Karman equations, defined in polygonal domains with point-wise control constraints. Conforming finite elements are employed…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
This paper considers the problem of determining an optimal control action based on observed data. We formulate the problem assuming that the system can be modelled by a nonlinear state-space model, but where the model parameters, state and…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
Motivated by the applications, a class of optimal control problems is investigated, where the goal is to influence the behavior of a given population through another controlled one interacting with the first. Diffusive terms accounting for…
This paper concerns an optimal control problem $(P)$ related to a nonlinear Fokker-Planck equation. The problem is deeply related to a stochastic optimal control problem $(P_S)$ for a McKean-Vlasov equation. The existence of an optimal…
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field…
The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…
The paper is devoted to deriving necessary optimality conditions in a general optimal control problem for dynamical systems governed by controlled sweeping processes with hard-constrained control actions entering both polyhedral moving sets…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…