Related papers: Optimal Impulse Control of Dynamical Systems
Hybrid systems, and Piecewise Deterministic Markov Processes in particular, are widely used to model and numerically study systems exhibiting multiple time scales in biochemical reaction kinetics and related areas. In this paper an almost…
In this paper we study the bicausal optimal transport problem for Markov chains, an optimal transport formulation suitable for stochastic processes which takes into consideration the accumulation of information as time evolves. Our analysis…
We present an optimal control-based strategy to enhance the estimation of impulse-like disturbances in continuously monitored linear classical and quantum systems by exploiting non-equilibrium states. Using optimal estimation techniques for…
Hybrid dynamical systems are systems which undergo both continuous and discrete transitions. The Bolza problem from optimal control theory is applied to these systems and a hybrid version of Pontryagin's maximum principle is presented. This…
We review the optimal control of systems modeling the dynamics of tuberculosis. Time dependent control functions are introduced in the mathematical models, representing strategies for the improvement of the treatment and cure of active…
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal…
This paper rigorously connects the problem of optimal control of McKean-Vlasov dynamics with large systems of interacting controlled state processes. Precisely, the empirical distributions of near-optimal control-state pairs for the…
This paper investigates the synthesis of distributed economic control algorithms under which dynamically coupled physical systems are regulated to a variational equilibrium of a constrained convex game. We study two complementary cases: (i)…
In this work we are interested in the modelling and control of opinion dynamics spreading on a time evolving network with scale-free asymptotic degree distribution. The mathematical model is formulated as a coupling of an opinion alignment…
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…
This paper studies the optimal control problem for discrete-time nonlinear systems and an approximate dynamic programming-based Model Predictive Control (MPC) scheme is proposed for minimizing a quadratic performance measure. In the…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
We give a short overview of recent results on a specific class of Markov process: the Piecewise Deterministic Markov Processes (PDMPs). We first recall the definition of these processes and give some general results. On more specific cases…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
This paper investigates a class of optimal control problems associated with Markov processes with local state information. The decision-maker has only local access to a subset of a state vector information as often encountered in…
In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…
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…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
We approach the development of models and control strategies of susceptible-infected-susceptible (SIS) epidemic processes from the perspective of marked temporal point processes and stochastic optimal control of stochastic differential…
In this paper the connection between stochastic optimal control and reinforcement learning is investigated. Our main motivation is to apply importance sampling to sampling rare events which can be reformulated as an optimal control problem.…