Related papers: Two-sided Poisson control of linear diffusions
Existing approaches to diffusion-based inverse problem solvers frame the signal recovery task as a probabilistic sampling episode, where the solution is drawn from the desired posterior distribution. This framework suffers from several…
How can precise control be realised in intrinsically noisy systems? Here, we develop a general theoretical framework that provides a way to achieve precise control in signal-dependent noisy environments. When the control signal has Poisson…
This article treats three problems of sparse and optimal multiplexing a finite ensemble of linear control systems. Given an ensemble of linear control systems, multiplexing of the controllers consists of an algorithm that selects, at each…
We study an optimal boundary control problem for the two-dimensional stationary micropolar fluids system with variable density. We control the system by considering boundary controls, for the velocity vector and angular velocity of rotation…
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…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…
An optimal control problem on finite-dimensional positive cones is stated. Under a critical assumption on the cone, the corresponding Bellman equation is satisfied by a linear function, which can be computed by convex optimization. A…
Optimal control theory is usually formulated as an indirect method requiring the solution of a two-point boundary value problem. Practically, the solution is obtained by iterative forward and backward propagation of quantum wavepackets.…
This paper addresses the problem of robust control of a linear discrete-time system subject to bounded disturbances and to measurement and control budget constraints. Using Q-parameterization and a polytope containment method, we prove that…
We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…
We consider the optimal control of singular nonlinear partial differential equation which is the distributional formulation of the multiphase Stefan type free boundary problem for the general second order parabolic equation. Boundary heat…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
We study the controllability of a coupled system of linear parabolic equations, with non-negativity constraint on the state. We establish two results of controllability to trajectories in large time: one for diagonal diffusion matrices with…
This short note shows how to solve optimal control problems using second order sensitivity analysis
We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
We investigate a distributed optimal control problem for a phase field model of Cahn-Hilliard type. The model describes two-species phase segregation on an atomic lattice under the presence of diffusion; it has been recently introduced by…