Related papers: Optimal control on graphs: existence, uniqueness, …
In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with general state and action spaces. More precisely, we prove…
We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
For the task of moving a set of indistinguishable agents on a connected graph with unit edge distance to an arbitrary set of goal vertices, free of collisions, we propose a fast distance optimal control algorithm that guides the agents into…
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…
Controlling complex dynamical systems has been a topic of considerable interest in academic circles in recent decades. While existing works have primarily focused on closed-loop control schemes with infinite-time durations, this paper…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show…
We introduce bounds on the finite-time performance of Markov chain Monte Carlo algorithms in approaching the global solution of stochastic optimization problems over continuous domains. A comparison with other state-of-the-art methods…
In this paper we consider an optimal control problem (OCP) for the coupled system of a nonlinear monotone Dirichlet problem with matrix- valued non-smooth controls in coefficients and a nonlinear equation of Ham- merstein type. Since…
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
Stochastic properties of the long time behavior of a continuously observed (and interactively controlled) quantum--field top are investigated mathematically. Applications to interactively controlled stochastic computerographical dynamic…
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…
This paper investigates the finite-horizon optimal control (FHOC) problem of Boolean control networks (BCNs) from a graph theory perspective. We first formulate two general problems to unify various special cases studied in the literature:…
The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in…
This paper investigates large-population stochastic control problems in which agents share their state information and cooperate to minimize a convex cost functional. The latter is decomposed into individual and coupling costs, with the…
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…