Related papers: Analyzing a Maximum Principle for Finite Horizon S…
We consider an optimal control problem governed by an elliptic variational inequality of the second kind. The problem is discretized by linear finite elements for the state and a variational discrete approach for the control. Based on a…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…
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…
We deal with an infinite horizon, infinite dimensional stochastic optimal control problem arising in the study of economic growth in time-space. Such problem has been the object of various papers in deterministic cases when the possible…
In optimal control theory, infimum gap means that there is a gap between the infimum values of a given minimum problem and an extended problem, obtained by enlarging the set of original solutions and controls. The gap phenomenon is somewhat…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
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…
We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our…
The concept of a local infimum for an optimal control problem is introduced. This definition extends that of an optimal process. For a~local infimum we prove an existence theorem and derive necessary conditions that resemble some family of…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
We derive a Maximum Principle for optimal control problems with constraints given by the coupling of a system of ODEs and a PDE of Vlasov-type. Such problems arise naturally as ${\Gamma}$-limits of optimal control problems subject to ODE…
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
For an optimal control problem, the concept of a strong local infimum is introduce, for which necessary conditions consisting of some family of "maximum principles" are formulated. If a function delivers a strong local minimum in this…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
This article treats optimal sparse control problems with multiple constraints defined at intermediate points of the time domain. For such problems with intermediate constraints, we first establish a new Pontryagin maximum principle that…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…