Related papers: Infinite time horizon spatially distributed optima…
We present a numerical framework to treat infinite time horizon spatially distributed optimal control problems via the associated canonical system derived by Pontryagin's Maximum Principle. The basic idea is to consider the canonical system…
p2pOC is an add-on toolbox to the Matlab package pde2path. It is aimed at the numerical solution of optimal control (OC) problems with an infinite time horizon for parabolic systems of PDE over 1D or 2D spatial domains. The basic idea is to…
We consider an infinite time horizon spatially distributed optimal harvesting problem for a vegetation and soil water reaction diffusion system, with rainfall as the main external parameter. By Pontryagin's maximum principle we derive the…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
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…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
We consider the optimal control of singular nonlinear partial differential equation which is the distributional formulation of the multiphase Stefan type free boundary problem for the general second order parabolic equation. Boundary heat…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
We consider the optimal control problem of a general nonlinear spatio-temporal system described by Partial Differential Equations (PDEs). Theory and algorithms for control of spatio-temporal systems are of rising interest among the…
This paper presents a new and straightforward procedure for solving bilinear quadratic optimal control problem. In this method, first the original optimal control problem is transformed into a nonlinear twopoint boundary value problem…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
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…
We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…
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…
We study the finite-horizon optimal control problem with quadratic functionals for an established fluid-structure interaction model. The coupled PDE system under investigation comprises a parabolic (the fluid) and a hyperbolic (the solid)…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
The time parallel solution of optimality systems arising in PDE constraint optimization could be achieved by simply applying any time parallel algorithm, such as Parareal, to solve the forward and backward evolution problems arising in the…