Related papers: Multi-Period Liability Clearing via Convex Optimal…
We establish a linear programming formulation for the solution of joint chance constrained optimal control problems over finite time horizons. The joint chance constraint may represent an invariance, reachability or reach-avoid…
We develop a rigorous framework for global non-convex optimization by reformulating the minimization problem as a discounted infinite-horizon optimal control problem. For non-convex, continuous, and possibly non-smooth objective functions…
We study the closed-loop solvability of a stochastic linear quadratic optimal control problem for systems governed by stochastic evolution equations. This solvability is established by means of solvability of the corresponding Riccati…
We present an optimization-based approach to stochastic control problems with nonclassical information structures. We cast these problems equivalently as optimization prob- lems on joint distributions. The resulting problems are necessarily…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
We consider a class of infinite-dimensional optimization problems in which a distributed vector-valued variable should pointwise almost everywhere take values from a given finite set $\mathcal{M}\subset\mathbb{R}^m$. Such hybrid…
Inactive constraints do not contribute to the solution of an optimal control problem, but increase the problem size and burden the numerical computations. We present a novel strategy for handling inactive constraints efficiently by…
This paper proposes a novel dynamical model for determining clearing payments in financial networks. We extend the classical Eisenberg-Noe model of financial contagion to multiple time periods, allowing financial operations to continue…
Polyhedral convex set optimization problems are the simplest optimization problems with set-valued objective function. Their role in set optimization is comparable to the role of linear programs in scalar optimization. Vector linear…
Sequential Convex Programming (SCP) has recently gained significant popularity as an effective method for solving optimal control problems and has been successfully applied in several different domains. However, the theoretical analysis of…
Mathematical Selection is a method in which we select a particular choice from a set of such. It have always been an interesting field of study for mathematicians. Combinatorial optimisation is the practice of selecting the best constituent…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
Convex optimization is crucial in controlling legged robots, where stability and optimal control are vital. Many control problems can be formulated as convex optimization problems, with a convex cost function and constraints capturing…
Unlike conventional cars, connected and autonomous vehicles (CAVs) can cross intersections in a lane-free order and utilise the whole area of intersections. This paper presents a minimum-time optimal control problem to centrally control the…
The retirement funding problem addresses the question of how to manage a retiree's savings to provide her with a constant post-tax inflation adjusted consumption throughout her lifetime. This consists of choosing withdrawals and transfers…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
This paper addresses the problem of control synthesis for nonlinear optimal control problems in the presence of state and input constraints. The presented approach relies upon transforming the given problem into an infinite-dimensional…
This work is concerned with optimal control of partial differential equations where the control enters the state equation as a coefficient and should take on values only from a given discrete set of values corresponding to available…
Various control schemes rely on a solution of a convex optimization problem involving a particular robust quadratic constraint, which can be reformulated as a linear matrix inequality using the well-known $\mathcal{S}$-lemma. However, the…