Related papers: Duality and approximation of stochastic optimal co…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
This paper presents an algorithm to solve non-convex optimal control problems, where non-convexity can arise from nonlinear dynamics, and non-convex state and control constraints. This paper assumes that the state and control constraints…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
This article investigates the exact controllability of three-dimensional stochastic Maxwell equations, a coupled system comprising two stochastic partial differential equations. The research establishes the observability inequality for the…
We present a pair of adjoint optimal control problems characterizing a class of time-symmetric stochastic processes defined on random time intervals. The associated PDEs are of free-boundary type. The particularity of our approach is that…
This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly}…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
In this paper we consider time-optimal control problems for systems with backlash. Such systems are described by second order differential equations coupled with restrictions modeling the inelastic shocks. A main feature of such systems is…
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…
Within this chapter, we discuss control in the coefficients of an obstacle problem. Utilizing tools from H-convergence, we show existence of optimal solutions. First order necessary optimality conditions are obtained after deriving…
We investigate a distributed optimization problem over a cooperative multi-agent time-varying network, where each agent has its own decision variables that should be set so as to minimize its individual objective subject to local…
This paper develops a sliding mode control based frame work for equality constrained optimization by reformulation the first order Karush Kuhn Tucker conditions as control affine dynamical system. The optimization variables are treated as…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…