Related papers: On Continuous-Time Infinite Horizon Optimal Contro…
Recent results in the literature have provided connections between the so-called turnpike property, near optimality of closed-loop solutions, and strict dissipativity. Motivated by applications in economics, optimal control problems with…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
We investigate optimal control of linear port-Hamiltonian systems with control constraints, in which one aims to perform a state transition with minimal energy supply. Decomposing the state space into dissipative and non-dissipative (i.e.…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
A class of infinite horizon optimal control problems involving mixed quasi-norms of $L^p$-type cost functionals for the controls is discussed. These functionals enhance sparsity and switching properties of the optimal controls. The…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon $[0,T]$ as $T\rightarrow\infty$. The so-called turnpike properties are established for such problems, under…
Optimal control problems with a very large time horizon can be tackled with the Receding Horizon Control (RHC) method, which consists in solving a sequence of optimal control problems with small prediction horizon. The main result of this…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
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…
Stability of economic model predictive control can be proven under the assumption that a strict dissipativity condition holds. This assumption has a clear interpretation in terms of the so-called rotated stage cost, which must have its…
We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment…
A notion of $L^p$-exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Further, it is proved that the $L^p$-exact controllability,…
Controllability scores provide control-theoretic centrality measures that quantify the relative importance of state nodes in networked dynamical systems. We establish a structural connection between finite-time controllability scoring and…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
In the paper, for the system which possesses both an attractor and a stable fixed point, we first formulate new stable control problems to find the asymptotically stable control function which realizes to transit a state moving around the…
We study to what extent the detrimental impact of dissipation on quantum properties can be compensated by suitable coherent dynamics. To this end, we develop a general method to determine the control Hamiltonian that optimally counteracts a…