Related papers: Probabilistic error analysis for some approximatio…
We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, a piecewise constant policy approximation, Euler-Maruyama time stepping, and a Gauss-Hermite approximation of the…
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
This paper presents a detailed theoretical analysis of the three stochastic approximation proximal gradient algorithms proposed in our companion paper [49] to set regularization parameters by marginal maximum likelihood estimation. We prove…
In this contribution we propose reduced order methods to fast and reliably solve parametrized optimal control problems governed by time dependent nonlinear partial differential equations. Our goal is to provide a tool to deal with the time…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
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…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
In N.V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved under standard assumptions that the value functions of…
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…
We consider a general linear parabolic problem with extended time boundary conditions (including initial value problems and periodic ones), and approximate it by the implicit Euler scheme in time and the Gradient Discretisation method in…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…
In this work, we propose to efficiently solve time dependent parametrized optimal control problems governed by parabolic partial differential equations through the certified reduced basis method. In particular, we will exploit an error…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
We consider a control constrained parabolic optimal control problem and use variational discretization for its time semi-discretization. The state equation is treated with a Petrov-Galerkin scheme using a piecewise constant Ansatz for the…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
Probabilistic control design is founded on the principle that a rational agent attempts to match modelled with an arbitrary desired closed-loop system trajectory density. The framework was originally proposed as a tractable alternative to…
This paper examines a variety of classical optimization problems, including well-known minimization tasks and more general variational inequalities. We consider a stochastic formulation of these problems, and unlike most previous work, we…
We consider the problem of estimating a probability distribution that maximizes the entropy while satisfying a finite number of moment constraints, possibly corrupted by noise. Based on duality of convex programming, we present a novel…
We discuss several optimization procedures to solve finite element approximations of linear-quadratic Dirichlet optimal control problems governed by an elliptic partial differential equation posed on a 2D or 3D Lipschitz domain. The control…