Related papers: Infinite Horizon Stochastic Impulse Control with D…
This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as…
The extension of a conflict control problem with infinite horizon is constructed. This extension is the projective limit of restricted games. Relations between "sensitivity to target set" and the existence of the optimal control are…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
We consider a discounted infinite horizon optimal stopping problem. If the underlying distribution is known a priori, the solution of this problem is obtained via dynamic programming (DP) and is given by a well known threshold rule. When…
This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
In this paper, motivated by a problem in stochastic impulse control theory, we aim to study solutions to a free boundary problem of obstacle-type. We obtain sharp estimates for the solution using nonlinear tools which are independent of the…
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…
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…
We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differential equation (FSDE) driven by Brownian motion. We assume…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
The stochastic linear--quadratic regulator problem subject to Gaussian disturbances is well known and usually addressed via a moment-based reformulation. Here, we leverage polynomial chaos expansions, which model random variables via series…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
Stochastic control problems with delay are challenging due to the path-dependent feature of the system and thus its intrinsic high dimensions. In this paper, we propose and systematically study deep neural networks-based algorithms to solve…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…
A class of infinite horizon optimal control problems involving mixed quasi-norms of $L^p$-type cost functionals for the controls is discussed. These functionals enhance sparsity and switching properties of the optimal controls. The…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…