Related papers: Optimal potentials for problems with changing sing…
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,…
The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…
Consider, on the one part, a general nonlinear finite-dimensional optimal control problem and assume that it has a unique solution whose state is denoted by $x^*$. On the other part, consider the sampled-data control version of it. Under…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
We consider the Lagrange problem of optimal control with unrestricted controls and address the question: under what conditions we can assure optimal controls are bounded? This question is related to the one of Lipschitzian regularity of…
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the…
In this paper, a new technique is shown for deriving computable, guaranteed lower bounds of functional type (minorants) for two different cost functionals subject to a parabolic time-periodic boundary value problem. Together with previous…
This paper considers optimal control problems defined by a monotone dynamical system, a monotone cost, and monotone constraints. We identify families of such problems for which the optimal solution is bang-ride, i.e., always operates on the…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
An optimal control of a steady state thermistor problem is considered, where the convective boundary coefficient is taken as the control variable. A distinctive feature of this paper is that the problem is considered in arbitrary…
In this paper we introduce a new notion of optimal control, or source identification in inverse, problems with fractional parabolic PDEs as constraints. This new notion allows a source/control placement outside the domain where the PDE is…
In this paper, we consider the problem of multi-objective optimal control of a dynamical system with additive and multiplicative noises with given second moments and arbitrary probability distributions. The objectives are given by quadratic…
We consider an optimal control problem governed by an ODE with memory playing the role of a control. We show the existence of an optimal solution and derive some necessary optimality conditions. Some examples are then discussed.
We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and…
We study optimal control problems that are governed by semilinear elliptic partial differential equations that involve non-Lipschitzian nonlinearities. It is shown that, for a certain class of such PDEs, the solution map is Fr\'{e}chet…
We provide an a priori analysis of collocation methods for solving elliptic boundary value problems. They begin with information in the form of point values of the data and utilize only this information to numerically approximate the…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
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…