Related papers: On a switching control problem with c\`adl\`ag cos…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
We present a branch-and-bound algorithm for globally solving parabolic optimal control problems with binary switches that have bounded variation and possibly need to satisfy further combinatorial constraints. More precisely, for a given…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
This manuscript studies the preventive replacement policy for a series or parallel system consisting of n independent or dependent heterogeneous components. Firstly, for the age replacement policy, Some sufficient conditions for the…
The Switch Point Algorithm is a new approach for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a finite number of jump discontinuities in an optimal…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
This paper concerns the numerical procedure for solving hybrid optimal control problems with sliding modes. A sliding mode is coped with differential-algebraic equations (DAEs) and that guarantees accurate tracking of the sliding motion…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
In the design of closed-loop networked control systems (NCSs), induced transmission delay between sensors and the control station is an often-present issue which compromises control performance and may even cause instability. A very…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…
Here and in a follow-on paper, we consider a simple control problem in which the underlying dynamics depend on a parameter $a$ that is unknown and must be learned. In this paper, we assume that $a$ is bounded, i.e., that $|a| \le…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
We consider optimal control of fractional in time (subdiffusive, i.e., for $% 0<\gamma <1$) semilinear parabolic PDEs associated with various notions of diffusion operators in an unifying fashion. Under general assumptions on the…
This paper studies the differentiability of the value function of switched linear systems under arbitrary switching and controlled switching, referred to as worst-case and optimal value functions respectively. First, we show that the value…
In this paper, we consider a linear-quadratic optimal control problem of mean-field stochastic differential equation with jump diffusion, which is also called as an MF-LQJ problem. Here, cost functional is allowed to be indefinite. We use…