Related papers: Generalized Dynamic Programming Principle and Spar…
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field…
We study the optimal stopping problem of McKean-Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is that the stopping time also impacts the dynamics of the…
We study sparse optimal control of a non-local continuity equation, where the goal is to steer a distribution via finitely many controllable agents or actuators. This model arises naturally in mean-field multi-agent systems and takes the…
In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently, we derive the associated Hamilton-Jacobi-Bellman (HJB)…
We study a family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…
In this work, we investigate a stochastic control framework for global optimization over both Euclidean spaces and the Wasserstein space of probability measures, where the objective function may be non-convex and/or non-differentiable. In…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
We analyze an algorithm to numerically solve the mean-field optimal control problems by approximating the optimal feedback controls using neural networks with problem specific architectures. We approximate the model by an $N$-particle…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…
We present a novel computational framework for density control in high-dimensional state spaces. The considered dynamical system consists of a large number of indistinguishable agents whose behaviors can be collectively modeled as a…
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using our recently developed method. Our method is to embed the…
We propose a mean-field optimal control problem for the parameter identification of a given pattern. The cost functional is based on the Wasserstein distance between the probability measures of the modeled and the desired patterns. The…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
The principle of optimality is a fundamental aspect of dynamic programming, which states that the optimal solution to a dynamic optimization problem can be found by combining the optimal solutions to its sub-problems. While this principle…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
In this article, we derive first-order necessary optimality conditions for a constrained optimal control problem formulated in the Wasserstein space of probability measures. To this end, we introduce a new notion of localised metric…
In this paper, we prove a Pontryagin Maximum Principle for constrained optimal control problems in the Wasserstein space of probability measures. The dynamics, is described by a transport equation with non-local velocities and is subject to…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…