Related papers: Stochastic optimal control formalism for an open q…

We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…

The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…

We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…

In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…

We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…

Optimal control is a central problem in quantum thermodynamics. When minimizing dissipated work and work fluctuations defined via the two-point measurement scheme in open quantum systems, existing approaches largely focus on the rapid- and…

Open-system quantum dynamics described by non-Hermitian effective Hamiltonians have become a subject of considerable interest. Studies of non-Hermitian physics have revealed general principles, including relationships between the topology…

We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…

We discuss a mathematical framework for analysis of optimal control problems on infinite-dimensional manifolds. Such problems arise in study of optimization for partial differential equations with some symmetry. It is shown that some…

In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…

In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).

This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…

In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…

The ability to characterise a Hamiltonian with high precision is crucial for the implementation of quantum technologies. In addition to the well-developed approaches utilising optimal probe states and optimal measurements, the method of…

Without exact knowledge of the true system dynamics, optimal control of non-linear continuous-time systems requires careful treatment under epistemic uncertainty. In this work, we translate a probabilistic interpretation of the Pontryagin…

In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

We establish a variety of results extending the well-known Pontryagin maximum principle of optimal control to discrete-time optimal control problems posed on smooth manifolds. These results are organized around a new theorem on critical and…

For systems in an externally controllable time-dependent potential, the optimal protocol minimizes the mean work spent in a finite-time transition between two given equilibrium states. For overdamped dynamics which ignores inertia effects,…

This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…