Related papers: Stochastic control on networks: weak DPP, and veri…
This paper is concerned with synchronization of complex stochastic dynamical networks in the presence of noise and functional uncertainty. A probabilistic control method for adaptive synchronization is presented. All required probabilistic…
We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
We prove the dynamic programming principle (DPP) in a class of problems where an agent controls a $d$-dimensional diffusive dynamics via both classical and singular controls and, moreover, is able to terminate the optimisation at a time of…
We study a combined optimal control/stopping problem under a nonlinear expectation ${\cal E}^f$ induced by a BSDE with jumps, in a Markovian framework. The terminal reward function is only supposed to be Borelian. The value function $u$…
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 a dynamic stochastic control problem subject to Knightian uncertainty with multi-objective (vector-valued) criteria. Assuming the preferences across expected multi-loss vectors are represented by a given, yet general, preorder, we…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
In the freeway network control (FNC) problem, the operation of a traffic network is optimized using only flow control. For special cases of the FNC problem, in particular the case when all merging flows are controlled, there exist tight…
We study some optimal control problems on networks with junctions, approximate the junctions by a switching rule of delay-relay type and study the passage to the limit when $\varepsilon$, the parameter of the approximation, goes to zero.…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
We consider control-constrained linear-quadratic optimal control problems on evolving surfaces. In order to formulate well-posed problems, we prove existence and uniqueness of weak solutions for the state equation, in the sense of…
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
In this paper, we propose to study on sufficient control of complex networks which is to control a sufficiently large portion of the network, where only the quantity of controllable nodes matters. To the best of our knowledge, this is the…
The minimum number of inputs needed to control a network is frequently used to quantify its controllability. Control of linear dynamics through a minimum set of inputs, however, often has prohibitively large energy requirements and there is…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
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…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…