Related papers: Necessary Conditions for Stochastic Optimal Contro…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We investigate the linear quadratic stochastic optimal control problems in infinite dimension without Markovian restriction for coefficients. The necessary and sufficient conditions for open-loop optimal controls are presented. We prove the…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality gap and the existence of dual solutions in a locally convex…
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
In this article, we prove second-order necessary optimality conditions for the so-called time crisis problem that comes up within the context of viability theory. It consists in minimizing the time spent by solutions of a controlled…
In this article we establish new second order necessary and sufficient optimality conditions for a class of control-affine problems with a scalar control and a scalar state constraint. These optimality conditions extend to the constrained…
In this work, we study an optimal boundary control for the stochastic Allen Cahn Navier Stokes system. The governing system of nonlinear partial differential equations consists of the stochastic Navier Stokes equations with non homogeneous…
In this paper we derive necessary optimality conditions for optimal control problems with nonlinear and nonsmooth implicit control systems. Implicit control systems have wide applications including differential algebraic equations (DAEs).…
In this paper we derive a necessary optimality condition for a local optimal solution of some control problems. These optimal control problems are governed by a semi-linear Vettsel boundary value problem of a linear elliptic equation. The…
The first-order optimality conditions for a generic nonlinear optimization problem are generated as part of the terminal transversality conditions of an optimal control problem. It is shown that the Lagrangian of the optimization problem is…
We analyze optimal control problems for multiple Fredholm and Volterra integral equations. These are non Pontryaginian optimal control problems, i.e. an extremum principle of Pontryagin type does not hold. We obtain first order necessary…
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…
In this paper, we analyze optimal control problems governed by semilinear parabolic equations. Box constraints for the controls are imposed and the cost functional involves the state and possibly a sparsity-promoting term, but not a…
This paper introduces and studies the optimal control problem with equilibrium constraints (OCPEC). The OCPEC is an optimal control problem with a mixed state and control equilibrium constraint formulated as a complementarity constraint and…
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…
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. The state equation describes the evolution of a material…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…