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In this paper, we study an optimal control problem for a cascade of hydroelectric power plants with reversible turbines and uncontrolled spillways. The system dynamics are governed by a linear control model subject to path constraints. The…
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…
In this work, the artificial recirculation of water is presented and analyzed, from the perspective of the optimal control of partial differential equations, as a tool to prevent eutrophication effects in large waterbodies. A novel…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
The authors consider stochastic aspects of the stabilization problem for two and three-dimensional Oseen equations with help of feedback control defined on a part of the fluid boundary. Stochastic issues arise when inevitable unpredictable…
The optimal control of a water reservoir systems represents a challenging problem, due to uncertain hydrologic inputs and the need to adapt to changing environment and varying control objectives. In this work, we propose a real-time…
We consider control of uncertain linear time-varying stochastic systems from the perspective of regret minimization. Specifically, we focus on the problem of designing a feedback controller that minimizes the loss relative to a clairvoyant…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
In Stochastic Optimal Control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive),…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
We study an optimal boundary control problem for the two-dimensional stationary micropolar fluids system with variable density. We control the system by considering boundary controls, for the velocity vector and angular velocity of rotation…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
We study the optimal control of a rate-independent system that is driven by a convex, quadratic energy. Since the associated solution mapping is non-smooth, the analysis of such control problems is challenging. In order to derive optimality…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
A new stochastic control model for the long-run environmental management of rivers is mathematically and numerically analyzed, focusing on a modern sediment replenishment problem with unique nonsmooth and nonlinear properties. Rational…
We consider damped stochastic systems in a controlled (time-varying) quadratic potential and study their transition between specified Gibbs-equilibria states in finite time. By the second law of thermodynamics, the minimum amount of work…