Related papers: A Concise Introduction to Control Theory for Stoch…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
In this paper, we study a class of fractional optimal control problems. A necessary condition for the existence of an optimal control is provided in the literature. It is commonly given as the existence of a solution of a fractional…
We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
An optimal control problem associated with the dynamics of the orientation of a bipolar molecule in the plane can be understood by means of tools in differential geometry. For first time in the literature $k$-symplectic formalism is used to…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this…
In this paper we consider a constrained parabolic optimal control problem. The cost functional is quadratic and it combines the distance of the trajectory of the system from the desired evolution profile together with the cost of a control.…
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…
The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…
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 paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…