Related papers: A Note on Costs Minimization with Stochastic Targe…
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…
We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time…
This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the optimization problem by reducing the constraints to a finite…
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general…
This paper presents a scalable method for improving the solutions of AC Optimal Power Flow (AC OPF) with respect to deviations in predicted power injections from wind and other uncertain generation resources. The focus of the paper is on…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
The second-order sub-optimal sliding mode control (SMC), known in the literature for the last two decades, is extended by a control-off mode which allows for saving energy during the finite time convergence. The systems with relative degree…
In this paper we discuss the numerical solution of elliptic distributed optimal control problems with state or control constraints when the control is considered in the energy norm. As in the unconstrained case we can relate the…
There is a growing body of work on sorting and selection in models other than the unit-cost comparison model. This work is the first treatment of a natural stochastic variant of the problem where the cost of comparing two elements is a…
The problem of continuous inverse optimal control (over finite time horizon) is to learn the unknown cost function over the sequence of continuous control variables from expert demonstrations. In this article, we study this fundamental…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…