Related papers: Duality and approximation of stochastic optimal co…

In this paper we consider an optimal control problem governed by a time-dependent variational inequality arising in quasistatic plasticity with linear kinematic hardening. We address certain continuity properties of the forward operator,…

This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…

This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…

A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…

In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…

In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…

This paper considers the problem of minimizing a convex expectation function with a set of inequality convex expectation constraints. We present a computable stochastic approximation type algorithm, namely the stochastic linearized proximal…

In this paper, we focus on the problem of stochastic optimization where the objective function can be written as an expectation function over a closed convex set. We also consider multiple expectation constraints which restrict the domain…

In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…

In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…

In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…

While techniques have been developed for chance constrained stochastic optimal control using sample disturbance data that provide a probabilistic confidence bound for chance constraint satisfaction, far less is known about how to use sample…

This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonical space. We introduce a penalized version of this type of…

In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…

We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…

With the widespread adoption of machine learning systems, the need to curtail their behavior has become increasingly apparent. This is evidenced by recent advancements towards developing models that satisfy robustness, safety, and fairness…

This paper develops a primal-dual dynamical system where the coefficients are designed in closed-loop way for solving a convex optimization problem with linear equality constraints. We first introduce a ``second-order primal" +…

We prove necessary optimality conditions of Euler-Lagrange type for a problem of the calculus of variations with time delays, where the delay in the unknown function is different from the delay in its derivative. Then, a more general…

We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…

In this paper we generalize the estimation-control duality that exists in the linear-quadratic-Gaussian setting. We extend this duality to maximum a posteriori estimation of the system's state, where the measurement and dynamical system…