Related papers: Stochastic Linear Quadratic Optimal Control with G…
We consider a one dimensional elliptic distributed optimal control problem with pointwise constraints on the derivative of the state. By exploiting the variational inequality satisfied by the derivative of the optimal state, we obtain…
This paper presents a novel convex optimization-based method for finding the globally optimal solutions of a class of mixed-integer non-convex optimal control problems. We consider problems with non-convex constraints that restrict the…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
In this paper, we will deal with a Linear Quadratic Optimal Control problem with unknown dynamics. As a modeling assumption, we will suppose that the knowledge that an agent has on the current system is represented by a probability…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
The linear quadratic regulator problem is central in optimal control and was investigated since the very beginning of control theory. Nevertheless, when it includes affine state constraints, it remains very challenging from the classical…
A numerical study of an optimal control formulation for a shape optimization problem governed by an elliptic variational inequality is performed. The shape optimization problem is reformulated as a boundary control problem in a fixed…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
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…
We present a novel class of minimax optimal control problems with positive dynamics, linear objective function and homogeneous constraints. The proposed problem class can be analyzed with dynamic programming and an explicit solution to the…
This paper studies (single-time and multitime) optimal control problems on a nonholonomic manifold (described either by the kernel of a Gibbs-Pfaff form or by the span of appropriate vector fields). For both descriptions we analyse:…
A scheme for generating a family of convex variational principles is developed, the Euler- Lagrange equations of each member of the family formally corresponding to the necessary conditions of optimal control of a given system of ordinary…
This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of the Pontryagin maximum principle and Lagrangian duality…
The maximum hands-off control is the optimal solution to the L0 optimal control problem. It has the minimum support length among all feasible control inputs. To avoid computational difficulties arising from its combinatorial nature, the…
We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…
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…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…