Related papers: A Finite Horizon Optimal Switching Problem with Me…
We consider the optimal control design problem for discrete-time LTI systems with state feedback, when the actuation signal is subject to unmeasurable switching propagation delays, due to e.g. the routing in a multi-hop communication…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise…
We study the optimal control formulation for stochastic nonlinear Schrodinger equation (SNLSE) on a finite graph. By viewing the SNLSE as a stochastic Wasserstein Hamiltonian flow on density manifold, we show the global existence of a…
We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of \textit{partial…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
This paper considers the optimal control for hybrid systems whose trajectories transition between distinct subsystems when state-dependent constraints are satisfied. Though this class of systems is useful while modeling a variety of…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
We present a numerically tractable formulation for computing the optimal control of the class of hybrid dynamical systems whose trajectories are continuous. Our formulation, an extension of existing relaxed-control techniques for switched…
In this paper, we consider the application of optimal periodic control sequences to switched dynamical systems. The control sequence is obtained using a finite-horizon optimal method based on dynamic programming. We then consider Euler…
Selected results for the stability and optimal control of abstract switched systems in Banach and Hilbert space are reviewed. The dynamics are typically given in a piecewise sense by a family of nonlinearly perturbed evolutions of strongly…
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compartment models, we qualitatively characterize the dynamics of…
In this paper, we study an optimal control problem for a cascade of hydroelectric power plants with reversible turbines and uncontrolled spillways. The system dynamics are governed by a linear control model subject to path constraints. The…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
This paper studies the time optimal control problem for systems of heat equations coupled by a pair of constant matrices. The control constraint is of the ball-type, while the target is the origin of the state space. We obtain an upper…
In this paper we define an infinite-dimensional controlled piecewise deterministic Markov process (PDMP) and we study an optimal control problem with finite time horizon and unbounded cost. This process is a coupling between a continuous…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…
We develop a mathematical model for sailboat navigation that can play the same role that the Black and Scholes model plays in mathematical finance: it captures essential features of sailboat navigation, it can provide insights that might…