Related papers: Stochastic Control with Delayed Information and Re…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…
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…
Time delays are ubiquitous in industrial processes, and they must be accounted for when designing control algorithms because they have a significant effect on the process dynamics. Therefore, in this work, we propose a simultaneous approach…
The aim of this work is to make a survey on recent sufficient optimality conditions for optimal control problems with time delays in both state and control variables. The results are obtained by transforming delayed optimal control problems…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
Reliable optimal control is challenging when the dynamics of a nonlinear system are unknown and only infrequent, noisy output measurements are available. This work addresses this setting of limited sensing by formulating a Bayesian prior…
Delays are ubiquitous in applied problems, but often do not arise as the simple constant discrete delays that analysts and numerical analysts like to treat. In this chapter we show how state-dependent delays arise naturally when modeling…
This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
We study a control problem governed by a semilinear parabolic equation. The control is a measure that acts as the kernel of a possibly nonlocal time delay term and the functional includes a non-differentiable term with the measure-norm of…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…
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…
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…