Related papers: Optimality Conditions and Moreau--Yosida Regulariz…
Optimization of conditional convex risk measure is a central theme in dynamic portfolio selection theory, which has not yet systematically studied in the previous literature perhaps since conditional convex risk measures are neither random…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
We discuss several optimization procedures to solve finite element approximations of linear-quadratic Dirichlet optimal control problems governed by an elliptic partial differential equation posed on a 2D or 3D Lipschitz domain. The control…
We tackle highly nonconvex, nonsmooth composite optimization problems whose objectives comprise a Moreau-Yosida regularized term. Classical nonconvex proximal splitting algorithms, such as nonconvex ADMM, suffer from lack of convergence for…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
This work is concerned with optimal control problems where the objective functional consists of a tracking-type functional and an additional "multibang" regularization functional that promotes optimal control taking values from a given…
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equation with delay in the state and with control dependent noise, in the general case of controls $u…
We consider Tikhonov regularization of control-constrained optimal control problems. We present new a-priori estimates for the regularization error assuming measure and source-measure conditions. In the special case of bang-bang solutions,…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
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…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonical space. We introduce a penalized version of this type of…
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 paper is concerned with an optimal control problem governed by the rate-independent system of quasi-static perfect elasto-plasticity. The objective is optimize the displacement field in the domain occupied by the body by means of…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
We study the optimal control of a rate-independent system that is driven by a convex, quadratic energy. Since the associated solution mapping is non-smooth, the analysis of such control problems is challenging. In order to derive optimality…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
This paper presents a convex sufficient condition for solving a system of nonlinear equations under parametric changes and proposes a sequential convex optimization method for solving robust optimization problems with nonlinear equality…