Related papers: Infinite time horizon spatially distributed optima…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
Correlated with the trend of increasing degrees of freedom in robotic systems is a similar trend of rising interest in Spatio-Temporal systems described by Partial Differential Equations (PDEs) among the robotics and control communities.…
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under…
We study the time-optimal robust control of a two-level quantum system subjected to field inhomogeneities. We apply the Pontryagin Maximum Principle and we introduce a reduced space onto which the optimal dynamics is projected down. This…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
We propose a new parallel-in-time algorithm for solving optimal control problems constrained by discretized partial differential equations. Our approach, which is based on a deeper understanding of ParaExp, considers an overlapping…
We develop dual approaches for continuous-time stochastic control problems, enabling the computation of robust dual bounds in high-dimensional state and control spaces. Building on the dual formulation proposed in [L. C. G. Rogers, SIAM…
In this note, we consider infinite horizon optimal control problems with deterministic systems. Since exact solutions to these problems are often intractable, we propose a parallel model predictive control (MPC) method that provides an…
This work addresses an optimal control problem constrained by a degenerate kinetic equation of parabolic-hyperbolic type. Using a hypocoercivity framework we establish the well-posedness of the problem and demonstrate that the optimal…
Space-time finite element discretizations of time-optimal control problems governed by linear parabolic PDEs and subject to pointwise control constraints are considered. Optimal a priori error estimates are obtained for the control variable…
A theoretical framework and numerical techniques to solve optimal control problems with a spatial trace term in the terminal cost and governed by regularized nonlinear hyperbolic conservation laws are provided. Depending on the spatial…
A method is devised for numerically solving a class of finite-horizon optimal control problems subject to cascade linear discrete-time dynamics. It is assumed that the linear state and input inequality constraints, and the quadratic measure…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
In this paper we consider a parabolic optimal control problem with a Dirac type control with moving point source in two space dimensions. We discretize the problem with piecewise constant functions in time and continuous piecewise linear…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…