Related papers: Duality and approximation of stochastic optimal co…

This paper is addressed to studying the exact controllability for stochastic Schr\"{o}dinger equations by two controls. One is a boundary control in the drift term and the other is an internal control in the diffusion term. By means of the…

We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…

In this work, we consider optimality conditions of an optimal control problem governed by an obstacle problem. Here, we focus on introducing a, matrix valued, control variable as the coefficients of the obstacle problem. As it is well…

This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…

In this work, we consider the two dimensional tidal dynamics equations in a bounded domain and address some optimal control problems like total energy minimization, minimization of dissipation of energy of the flow, etc. We also examine an…

Prior work on automatic control synthesis for cyber-physical systems under logical constraints has primarily focused on environmental disturbances or modeling uncertainties, however, the impact of deliberate and malicious attacks has been…

In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…

We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…

In this work, we develop a control-theoretic framework for constrained optimization problems with composite objective functions including non-differentiable terms. Building on the proximal augmented Lagrangian formulation, we construct a…

This paper is the first part of our series work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, both drift and diffusion terms may contain the control variable but the control region…

This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…

A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…

This paper is devoted to the distributed continuous-time optimization problem with time-varying objective functions and time-varying nonlinear inequality constraints. Different from most studied distributed optimization problems with…

This paper establishes a rigorous connection between regularized discrete-time reinforcement learning (RL) and continuous-time stochastic optimal control. Specifically, classical RL algorithms are typically solving a regularized…

We consider recent work of Haber and Ruthotto 2017 and Chang et al. 2018, where deep learning neural networks have been interpreted as discretisations of an optimal control problem subject to an ordinary differential equation constraint. We…

In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…

This paper deals with optimal control problems described by a controlled version of Moreau's sweeping process governed by convex polyhedra, where measurable control actions enter additive perturbations. This class of problems, which…

In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the…

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…

The paper studies a distributed constrained optimization problem, where multiple agents connected in a network collectively minimize the sum of individual objective functions subject to a global constraint being an intersection of the local…