Related papers: Sparse optimal stochastic control
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
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…
We introduce a stochastic version of the optimal transport problem. We provide an analysis by means of the study of the associated Hamilton-Jacobi-Bellman equation, which is set on the set of probability measures. We introduce a new…
A sparse regression approach for the computation of high-dimensional optimal feedback laws arising in deterministic nonlinear control is proposed. The approach exploits the control-theoretical link between Hamilton-Jacobi-Bellman PDEs…
We extend the stochastic Perron method to analyze the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost surely reaches a given target no matter which action is chosen by…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…
We present a neural network approach for approximating the value function of high-dimensional stochastic control problems. Our training process simultaneously updates our value function estimate and identifies the part of the state space…
In this paper we study the optimal control of a parabolic initial-boundary value problem of viscous Cahn-Hilliard type with zero Neumann boundary conditions. Phase field systems of this type govern the evolution of diffusive phase…
The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…
In this paper, a finite-horizon optimal control problem involving a dynamical system described by a linear Caputo fractional differential equation and a quadratic cost functional is considered. An explicit formula for the value functional…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in [4], we prove a corresponding randomized dynamic programming principle (DPP) for the value function, which is…
We discuss a class of debt management problems in a stochastic environment model. We propose a model for the debt-to-GDP (Gross Domestic Product) ratio where the government interventions via fiscal policies affect the public debt and the…
Maximum entropy reinforcement learning (RL) methods have been successfully applied to a range of challenging sequential decision-making and control tasks. However, most of existing techniques are designed for discrete-time systems. As a…
Focusing on identification, this paper develops techniques to reconstruct zero and nonzero elements of a sparse parameter vector of a stochastic dynamic system under feedback control, for which the current input may depend on the past…
In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the running cost is continuous but not necessarily Lipschitz with…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We study the stochastic control-stopping problem when the data are of polynomial growth. The approach is based on backward stochastic dierential equations (BSDEs for short). The problem turns into the study of a specic reected BSDE with a…