Related papers: Infinite Horizon Stochastic Impulse Control with D…
We revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure…
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
We consider a class of optimal control problems of stochastic delay differential equations (SDDE) that arise in connection with optimal advertising under uncertainty for the introduction of a new product to the market, generalizing…
In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = $\alpha$ t--d (bdt + $\sigma$dW t). We provide a new characterization of the solution in terms of a set of Riccati…
We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless $N$-armed bandit problem. Unlike most studies that rely on constructing policies based on the relaxed single-armed Markov Decision…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
We propose a receding horizon control strategy that readily handles systems that exhibit interval-wise total energy constraints on the input control sequence. The approach is based on a variable optimization horizon length and contractive…
We herein report a new class of impulsive fractional stochastic differential systems driven by mixed fractional Brownian motions with infinite delay and Hurst parameter $\hat{\cal H} \in ( 1/2, 1)$. Using fixed point techniques, a…
This paper investigates an infinite horizon discounted linear-quadratic (LQ) optimal control problem for stochastic differential equations (SDEs) incorporating regime switching and mean-field interactions. The regime switching is modeled by…
Output-Feedback Stochastic Model Predictive Control based on Stochastic Optimal Control for nonlinear systems is computationally intractable because of the need to solve a Finite Horizon Stochastic Optimal Control Problem. However, solving…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
This paper focuses on the study of infinite horizon fully coupled nonlinear forward-backward stochastic difference equations (FBS$\bigtriangleup$Es). Firstly, we establish a pair of priori estimates for the solutions to forward stochastic…
We introduce a numerically stable reformulation of controllability scoring based on a scaled controllability Gramian, which remains reliably computable even for unstable systems. The resulting optimization problems define dynamics-aware…
This article considers the stochastic optimal control of discrete-time linear systems subject to (possibly) unbounded stochastic disturbances, hard constraints on the manipulated variables, and joint chance constraints on the states. A…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
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…
We consider finite horizon reach-avoid problems for discrete time stochastic systems. Our goal is to construct upper bound functions for the reach-avoid probability by means of tractable convex optimization problems. We achieve this by…