Related papers: Regime-switching constrained viscosity solutions a…
We determine how to optimally reset a superconducting qubit which interacts with a thermal environment in such a way that the coupling strength is tunable. Describing the system in terms of a time-local master equation with time-dependent…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…
We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
This paper investigates the optimal control problems for the finite-horizon continuous-time Markov decision processes with delay-dependent control policies. We develop compactification methods in decision processes, and show that the…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…
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…
This work presents a new computational optimization framework for the robust control of parks of Wave Energy Converters (WEC) in irregular waves. The power of WEC parks is maximized with respect to the individual control damping and…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…
In this paper, we first investigate necessary optimality conditions for problems governed by systems describing the flow of an incompressible second grade fluid. Next, we study the asymptotic behavior of the optimal solution when the…
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…
We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
In this paper we formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
We consider an optimal control problem for a two-dimensional Navier-Stokes-Cahn-Hilliard system arising in the modeling of fluid-membrane interaction. The fluid dynamics is governed by the incompressible Navier-Stokes equations, which are…
Control of complex turbulent dynamical systems involving strong nonlinearity and high degrees of internal instability is an important topic in practice. Different from traditional methods for controlling individual trajectories, controlling…
We apply the stochastic Perron method of Bayraktar and S\^irbu to a general infinite horizon optimal control problem, where the state $X$ is a controlled diffusion process, and the state constraint is described by a closed set. We prove…