Related papers: On a Class of Infinite-Dimensional Singular Stocha…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
The study of optimal control problems under uncertainty plays an important role in scientific numerical simulations. This class of optimization problems is strongly utilized in engineering, biology and finance. In this paper, a stochastic…
In this paper, we study infinite dimensional stochastic systems having both unbounded control and observation operators. First of all, using a semigroup approach, we give another take of the well-posedness of such systems treated in [SIAM…
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…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…
We study the optimal control of a rate-independent system that is driven by a convex, quadratic energy. Since the associated solution mapping is non-smooth, the analysis of such control problems is challenging. In order to derive optimality…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
This paper develops a variational inference framework for control of infinite dimensional stochastic systems. We employ a measure theoretic approach which relies on the generalization of Girsanov's theorem, as well as the relation between…
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
Sequential Convex Programming (SCP) has recently gained significant popularity as an effective method for solving optimal control problems and has been successfully applied in several different domains. However, the theoretical analysis of…
This paper investigates the solvability and optimal control of a class of impulsive stochastic differential equations (SDEs) within a Hilbert space setting. First, we establish the existence and uniqueness of mild solutions for the proposed…
In this work, we study a boundary control problem for the evolutionary Navier-Stokes equations, under mixed boundary conditions, in two dimensions. The cost functional here considered is of quadratic type, depending on both state and…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…