Related papers: A stochastic optimal control problem governed by S…
This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by partial differential equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…
The path-integral control, which stems from the stochastic Hamilton-Jacobi-Bellman equation, is one of the methods to control stochastic nonlinear systems. This paper gives a new insight into nonlinear stochastic optimal control problems…
The study of density-dependent stochastic population processes is important from a historical perspective as well as from the perspective of a number of existing and emerging applications today. In more recent applications of these…
This paper addresses the numerical solution of backward stochastic differential equations (BSDEs) arising in stochastic optimal control. Specifically, we investigate two BSDEs: one derived from the Hamilton-Jacobi-Bellman equation and the…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
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…
Large-size populations consisting of a continuum of identical and non-cooperative agents with stochastic dynamics are useful in modeling various biological and engineered systems. This paper addresses the stochastic control problem of…
In this paper, we prove the necessary and sufficient maximum principles (NSMPs in short) for the optimal control of systems described by a quasilinear stochastic heat equation within convex control domains, which all the coefficients…
This paper presents a novel methodology to tackle feedback optimal control problems in scenarios where the exact state of the controlled process is unknown. It integrates data assimilation techniques and optimal control solvers to manage…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We investigate the discrete-time stochastic linear quadratic control problem for a population of cooperative agents under the hard equality constraint on total control inputs, motivated by demand response in renewable energy systems. We…
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
We study the problem of optimal control of the stochastic SIR model. Models of this type are used in mathematical epidemiology to capture the time evolution of highly infectious diseases such as COVID-19. Our approach relies on…
This paper studies a time optimal control problem with control constraints of the rectangular type for the linear multi-input time-varying ordinary differential equations. The aims of this study are to establish certain necessary and…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
This paper investigates the norm and time optimal control problems for stochastic heat equations. We begin by presenting a characterization of the norm optimal control, followed by a discussion of its properties. We then explore the…