Related papers: Generalized Lagrangian Jacobi-Gauss-Radau collocat…
The paper proposes an approach for the efficient model order reduction of dynamic contact problems in linear elasticity. Instead of the augmented Lagrangian method that is widely used for mechanical contact problems, we prefer here the…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
The linear quadratic Gaussian (LQG) control problem for the linear wave equation on the unit circle with fully distributed actuation and partial state measurements is considered. An analytical solution to a spatial discretization of the…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
We present a formulation of an optimal control problem for a two-dimensional diffusion process governed by a Fokker-Planck equation to achieve a nonequilibrium steady state with a desired circulation while accelerating convergence toward…
In this paper, we propose an efficient high order semi-Lagrangian (SL) discontinuous Galerkin (DG) method for solving linear convection-diffusion equations. The method generalizes our previous work on developing the SLDG method for…
This work is devoted to the numerical approximation of high-dimensional advection-diffusion equations. It is well-known that classical methods, such as the finite volume method, suffer from the curse of dimensionality, and that their time…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
We study the distributed Linear Quadratic Gaussian (LQG) control problem in discrete-time and finite-horizon, where the controller depends linearly on the history of the outputs and it is required to lie in a given subspace, e.g. to possess…
In this paper, a space-time discontinuous Galerkin finite element method for distributed optimal control problems governed by unsteady diffusion-convection-reaction equations with control constraints is studied. Time discretization is…
This paper is about operator-theoretic methods for solving nonlinear stochastic optimal control problems to global optimality. These methods leverage on the convex duality between optimally controlled diffusion processes and…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…
Optimization problems with norm-bounding constraints arise in a variety of applications, including portfolio optimization, machine learning, and feature selection. A common approach to these problems involves relaxing the norm constraint…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
A local convergence rate is established for an orthogonal collocation method based on Radau quadrature applied to an unconstrained optimal control problem. If the continuous problem has a sufficiently smooth solution and the Hamiltonian…
This paper is devoted to the theoretical and numerical investigation of an augmented Lagrangian method for the solution of optimization problems with geometric constraints. Specifically, we study situations where parts of the constraints…
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…
A classical approach for solving discrete time nonlinear control on a finite horizon consists in repeatedly minimizing linear quadratic approximations of the original problem around current candidate solutions. While widely popular in many…
In this paper, we consider a nonconvex optimization problem with nonlinear equality constraints. We assume that both, the objective function and the functional constraints are locally smooth. For solving this problem, we propose a…