Related papers: Noether theorem in stochastic optimal control prob…
We survey the main numerical techniques for finite-dimensional nonlinear optimal control. The chapter is written as a guide to practitioners who wish to get rapidly acquainted with the main numerical methods used to efficiently solve an…
In this paper we consider a mean field optimal control problem with an aggregation-diffusion constraint, where agents interact through a potential, in the presence of a Gaussian noise term. Our analysis focuses on a PDE system coupling a…
Noether's theorem is a cornerstone of analytical mechanics, making the link between symmetries and conserved quantities. In this article, I propose a simple, geometric derivation of this theorem that circumvents the usual difficulties that…
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…
The relation between symmetries and local conservation laws, known as Noether's theorem, plays an important role in modern theoretical physics. As a discrete analog of the differentiable physical system, a good numerical scheme should admit…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
An optimal control problem described by the Hamilton-Jacobi-Bellman equation can be developed into a problem that can be solved by general computational fluid dynamics packages. We describe how this formulation would allow a classical…
In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently, we derive the associated Hamilton-Jacobi-Bellman (HJB)…
A Hamilton-Jacobi theory for general dynamical systems, defined on fibered phase spaces, has been recently developed. In this paper we shall apply such a theory to contact Hamiltonian systems, as those appearing in thermodynamics and on…
We establish a connection between stochastic optimal control and generative models based on stochastic differential equations (SDEs), such as recently developed diffusion probabilistic models. In particular, we derive a…
Noether invariance in statistical mechanics provides fundamental connections between the symmetries of a physical system and its conservation laws and sum rules. The latter are exact identities that involve statistically averaged forces and…
We consider nonsmooth optimal control problems subject to a linear elliptic partial differential equation with homogeneous Dirichlet boundary conditions. It is well-known that local solutions satisfy the celebrated Pontryagin maximum…
Noether's 2nd theorem applied to a total system states that a global symmetry which is a part of local symmetries does not provide a physically meaningful conserved charge but it instead leads to off-shell constraints as a form of conserved…
We consider Noether symmetries of the equations defined by the sections of characteristic line bundles of nondegenerate 1-forms and of the associated perturbed systems. It appears that this framework can be used for time-dependent systems…
We exhibit two symmetries of one-dimensional Newtonian mechanics whereby a solution is built from the history of another solution via a generally nonlinear and complex potential-dependent transformation of the time. One symmetry intertwines…
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…
Exploiting a fluid dynamic formulation for which a probabilistic counterpart might not be available, we extend the theory of Schroedinger bridges to the case of inertial particles with losses and general, possibly singular diffusion…
Optimal control problems with symmetries often admit a non stationary turnpike property called trim turnpike, which characterizes the convergence of optimal solutions to certain symmetry induced trajectories called trim primitives. In this…