Related papers: Turnpike Properties for Stochastic Linear-Quadrati…
The paper addresses an existence problem for infinite horizon optimal control when the system under control is exponentially stabilizable or stable. Classes of nonlinear control systems for which infinite horizon optimal controls exist are…
We first derive a general integral-turnpike property around a set for infinite-dimensional non-autonomous optimal control problems with any possible terminal state constraints, under some appropriate assumptions. Roughly speaking, the…
This note discusses properties of parametric discrete-time Mixed-Integer Optimal Control Problems (MIOCPs) as they often arise in mixed-integer NMPC. We argue that in want for a handle on similarity properties of parametric MIOCPs the…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
This paper presents first results for near optimality in expectation of the closed-loop solutions for stochastic economic MPC. The approach relies on a recently developed turnpike property for stochastic optimal control problems at an…
This paper is devoted to analysing the explicit slow decay rate and turnpike in the infinite-horizon linear quadratic optimal control problems for hyperbolic systems. Assume that some weak observability or controllability are satisfied, by…
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…
Considering a general nonlinear dissipative finite dimensional optimal control problem in fixed time horizon T , we establish a two-term asymptotic expansion of the value function as $T\rightarrow+\infty$. The dominating term is T times the…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
In this work we derive an interval turnpike result for adjoints of finite- and infinite-dimensional nonlinear optimal control problems under the assumption of an interval turnpike on states and controls. We consider stabilizable dynamics…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
We consider control-constrained linear-quadratic optimal control problems on evolving surfaces. In order to formulate well-posed problems, we prove existence and uniqueness of weak solutions for the state equation, in the sense of…
This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…
We introduce and study the turnpike property for time-varying shapes, within the viewpoint of optimal control. We focus here on second-order linear parabolic equations where the shape acts as a source term and we seek the optimal…
We investigate convergence and turnpike properties for linear-quadratic mean field control problems with common noise. Within a unified framework, we analyze a finite-horizon social optimization problem, its mean field control limit, and…
We investigate optimal control of linear port-Hamiltonian systems with control constraints, in which one aims to perform a state transition with minimal energy supply. Decomposing the state space into dissipative and non-dissipative (i.e.…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…