Related papers: Data-Driven Stochastic Optimal Control using Linea…
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
Koopman analysis provides a general framework from which to analyze a nonlinear dynamical system in terms of a linear operator acting on an infinite-dimensional observable space. This theoretical framework provides a rigorous underpinning…
We study the structure of a simple dynamic optimization problem consisting of one state and one control variable, from a physicist's point of view. By using an analogy to a physical model, we study this system in the classical and quantum…
We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…
This paper addresses the model-free nonlinear optimal problem with generalized cost functional, and a data-based reinforcement learning technique is developed. It is known that the nonlinear optimal control problem relies on the solution of…
In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…
This paper investigates a Hamilton-Jacobi (HJ) analysis to solve finite-horizon optimal control problems for high-dimensional systems. Although grid-based methods, such as the level-set method [1], numerically solve a general class of HJ…
In many applications, and in systems/synthetic biology, in particular, it is desirable to compute control policies that force the trajectory of a bistable system from one equilibrium (the initial point) to another equilibrium (the target…
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
In this paper, we study representation formulas for finite-horizon optimal control problems with or without state constraints, unifying two different viewpoints: the Lagrangian and dynamic programming (DP) frameworks. In a recent work [1],…
This paper contributes a theoretical framework for data-driven feedback linearization of nonlinear control-affine systems. We unify the traditional geometric perspective on feedback linearization with an operator-theoretic perspective…
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…
In this paper, we present an application of the optimal control theory to orbital transfer of Low Earth Orbit satellites. The optimal control problem is treated with Dynamic Programming techniques which require solving the…
Autonomous systems have witnessed a rapid increase in their capabilities, but it remains a challenge for them to perform tasks both effectively and safely. The fact that performance and safety can sometimes be competing objectives renders…
We develop a comprehensive mathematical and computational framework for optimal production planning in economies governed by stochastic regime switches driven by a continuous-time Markov chain. The value functions of the underlying…
In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the extended Hamiltonian system which is essentially an FBSDE with a…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…