Related papers: Stable Optimal Control and Semicontractive Dynamic…
Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
Recent results in the study of the Hamilton Jacobi Bellman (HJB) equation have led to the discovery of a formulation of the value function as a linear Partial Differential Equation (PDE) for stochastic nonlinear systems with a mild…
We present an explicit solution to the discrete-time Bellman equation for minimax optimal control of positive systems under unconstrained disturbances. The primary contribution of our result relies on deducing a bound for the disturbance…
In this paper, we investigate solution stability for control problems of partial differential equations with the cost functional not involving the usual quadratic term for the control. We first establish a sufficient optimality condition…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
This paper develops a generalized finite horizon recursive solution to the discrete time signal bound disturbance attenuation regulator (SiDAR) for state feedback control. This problem addresses linear dynamical systems subject to signal…
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…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
The linear quadratic regulator is the fundamental problem of optimal control. Its state feedback version was set and solved in the early 1960s. However the static output feedback problem has no explicit-form solution. It is suggested to…
This paper develops a generalized finite horizon recursive solution to the discrete time stage bound disturbance attenuation regulator (StDAR) for state feedback control. This problem addresses linear dynamical systems subject to stage…
The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…
This work considers infinite-horizon optimal control of positive linear systems applied to the case of network routing problems. We demonstrate the equivalence between Stochastic Shortest Path (SSP) problems and optimal control of a certain…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…