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We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
This paper is to investigate the control problem of maximizing the net benefit of a single species while the cost of the resource allocation is minimized in a population model which can be described by a reaction diffusion advection…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…
We consider the decentralized control of radial distribution systems with controllable photovoltaic inverters and energy storage resources. For such systems, we investigate the problem of designing fully decentralized controllers that…
In this paper we revisit a class of optimal transport problems associated to non-autonomous linear control systems. Building on properties of the cost functions on $\mathbb{R}^{d}\times\mathbb{R}^{d}$ derived from suitable variational…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…