Related papers: Control on Hilbert Spaces and Application to Some …
Viewing stochastic processes through the lens of occupation measures has proved to be a powerful angle of attack for the theoretical and computational analysis of stochastic optimal control problems. We present a simple modification of the…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
Mean field games (MFG) and mean field control (MFC) are critical classes of multi-agent models for efficient analysis of massive populations of interacting agents. Their areas of application span topics in economics, finance, game theory,…
We present a theory of hypoellipticity and unique ergodicity for semilinear parabolic stochastic PDEs with "polynomial" nonlinearities and additive noise, considered as abstract evolution equations in some Hilbert space. It is shown that if…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon pro\-blems, and allow notably some coefficients to be stochastic. Extension to…
We design and compute a class of optimal control problems for reaction-diffusion systems. They form mean field control problems related to multi-density reaction-diffusion systems. To solve proposed optimal control problems numerically, we…
The paper presents an approach to studying optimal control problems in the space of nonnegative measures with dynamics given by a nonlocal balance law. This approach relies on transforming the balance law into a continuity equation in the…
Classical Finite Volume methods for multi-dimensional problems include stabilization (e.g.\ via a Riemann solver), that is derived by considering several one-dimensional problems in different directions. Such methods therefore ignore a…
A tensor decomposition approach for the solution of high-dimensional, fully nonlinear Hamilton-Jacobi-Bellman equations arising in optimal feedback control of nonlinear dynamics is presented. The method combines a tensor train approximation…
In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…
A 4-dimensional Lorentzian static space-time is equivalent to 3-dimensional Euclidean gravity coupled to a massless Klein-field. By canonically quantizing the coupling model in the framework of loop quantum gravity, we obtain a quantum…
In the first part of this paper, we derive an infinite dimensional partial differential equation which describes an economic equilibrium in a model of storage which includes an infinite number of non-atomic agents. This equation has the…
Deterministic dynamical models are discussed which can be described in quantum mechanical terms. In particular, a local quantum field theory is presented which is a supersymmetric classical model. -- The Hilbert space approach of Koopman…
This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…
Hilbert spaces in theories of gravity are notoriously subtle due to the Hamiltonian constraints, particularly regarding the inner product. To demystify this subject, we review and extend a collection of ideas in canonical gravity, and…
We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…
We study a stochastic optimal control problem motivated by the operation of a large ensemble of residential storage devices coordinated by an energy aggregator. The aggregator remunerates prosumers in exchange for direct control of their…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
We investigate time-dependent mean-field games with superquadratic Hamiltonians and a power dependence on the measure. Such problems pose substantial mathematical challenges as the key techniques used in the subquadratic case do not extend…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…