Related papers: The existence of optimal control for continuous-ti…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
We consider an optimal control problem for a system of local continuity equations on a space of probability measures. Such systems can be viewed as macroscopic models of ensembles of non-interacting particles or homotypic individuals,…
This paper concentrates on the minimal hitting probability of continuous-time controlled Markov systems (CTCMSs) with countable state and finite admissible action spaces. The existence of an optimal policy is first proved. In particular,…
This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…
We introduce a new method, stepwise method for solving optimal con- trol problems. Our first motivation for new approach emanate from limi- tations on continuous time control functions in PMP. Practically in most of the real world models,…
We revisit closed-loop performance guarantees for Model Predictive Control in the deterministic and stochastic cases, which extend to novel performance results applicable to receding horizon control of Partially Observable Markov Decision…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
The main theme of this thesis is the development of computational methods for classes of infinite-dimensional optimization problems arising in optimal control and information theory. The first part of the thesis is concerned with the…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…
We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…
For time-inconsistent stochastic controls in discrete time and finite horizon, an open problem in Bj\"ork and Murgoci (Finance Stoch, 2014) is the existence of an equilibrium control. A nonrandomized Borel measurable Markov equilibrium…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…