Related papers: Necessary Conditions for Adverse Control Problems …
We provide a necessary and sufficient condition for a rough control driving a differential equation to be reconstructable, to some order, from observing the resulting controlled evolution. Physical examples and applications in stochastic…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…
In this article we study optimal control problems for systems that are affine with respect to some of the control variables and nonlinear in relation to the others. We consider finitely many equality and inequality constraints on the…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
We study the singular stochastic optimal control problem with model uncertainty, where the necessary conditions determined by the corresponding maximum principle are trivial. Robust integral form and pointwise second order necessary…
In this paper we study an optimal control problem with nonsmooth mixed state and control constraints. In most of the existing results, the necessary optimality condition for optimal control problems with mixed state and control constraints…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
The paper is devoted to deriving necessary optimality conditions in a general optimal control problem for dynamical systems governed by controlled sweeping processes with hard-constrained control actions entering both polyhedral moving sets…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
The purpose of this paper is to establish first and second order necessary optimality conditions for optimal control problems of stochastic evolution equations with control and state constraints. The control acts both in the drift and…
A multi-variable adaptive controller is derived as the explicit solution to a minimax dynamic game. The minimizing player selects the control action as a function of past state measurements and inputs. The maximizing player selects…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
This paper introduces and studies the optimal control problem with equilibrium constraints (OCPEC). The OCPEC is an optimal control problem with a mixed state and control equilibrium constraint formulated as a complementarity constraint and…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
In this work, we consider optimality conditions of an optimal control problem governed by an obstacle problem. Here, we focus on introducing a, matrix valued, control variable as the coefficients of the obstacle problem. As it is well…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
Consider a two-player game repeated N times. Player 1 can choose between two styles (for interpretability, offensive and defensive), whereas Player 2 uses a single fixed style. Let X N\,:= \#wins -\#losses for Player 1 after N games, and…