Related papers: Sparse and Switching Infinite Horizon Optimal Cont…
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…
The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
Predictive control is frequently used for control problems involving constraints. Being an optimization based technique utilizing a user specified so-called stage cost, performance properties, i.e., bounds on the infinite horizon…
A new class of cost functionals for optimal control of quantum systems which produces controls which are sparse in frequency and smooth in time is proposed. This is achieved by penalizing a suitable time-frequency representation of the…
Large-scale networked systems typically operate under resource constraints, and it is also difficult to exactly obtain the network structure between nodes. To address these issues, this paper investigates a sparse optimal control for…
The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…
This paper studies multiobjective optimal control problems in the continuous-time framework when the space of states and the space of controls are infinite-dimensional and with lighter smoothness assumptions than the usual ones. The paper…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
In this paper, we investigate optimal control problems subject to a semilinear elliptic partial differential equations. The cost functional contains a term that measures the size of the support of the control, which is the so-called…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear…
In this paper we investigate necessary conditions of optimality for infinite-horizon optimal control problems with overtaking optimality as an optimality criterion. For the case of local Lipschitz continuity of the payoff function, we…
A special class of optimal control problems with complementarity constraints on the control functions is studied. It is shown that such problems possess optimal solutions whenever the underlying control space is a first-order Sobolev space.…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…