Related papers: De Finetti's control problem with a concave bound …
We consider the problem of determining an optimal strategy for electricity injection that faces an uncertain power demand stream. This demand stream is modeled via an Ornstein-Uhlenbeck process with an additional jump component, whereas the…
We analyze an optimal control problem governed by a rate-independent system in an abstract infinite-dimensional setting. The rate-independent system is characterized by a nonconvex stored energy functional, which depends on time via a…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
We study an explicit mirror-descent method for finite-horizon deterministic optimal control problems. The method is motivated by Pontryagin's maximum principle: at each iteration, one solves the state and adjoint equations and updates the…
In this paper, we study the Ornstein-Uhlenbeck bridge process (i.e. the Ornstein-Uhlenbeck process conditioned to start and end at fixed points) constraints to have a fixed area under its path. We present both anticipative (in this case, we…
This paper addresses the optimal control problem for a class of nonlinear fractional systems involving Caputo derivatives and nonlocal initial conditions. The system is reformulated as an abstract Hammerstein-type operator equation,…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
This paper presents an interior point method for pure-state and mixed-constrained optimal control problems for dynamics, mixed constraints, and cost function all affine in the control variable. This method relies on resolving a sequence of…
The Convex Envelope of a given function was recently characterized as the solution of a fully nonlinear Partial Differential Equation (PDE). In this article we study a modified problem: the Dirichlet problem for the underlying PDE. The main…
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…
A special class of optimal control problems with complementarity constraints on the control functions is studied. It is shown that such problems possess optimal solutions whenever the underlying control space is a first-order Sobolev space.…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…
We propose finitely convergent methods for solving convex feasibility problems defined over a possibly infinite pool of constraints. Following other works in this area, we assume that the interior of the solution set is nonempty and that…
A numerical study of an optimal control formulation for a shape optimization problem governed by an elliptic variational inequality is performed. The shape optimization problem is reformulated as a boundary control problem in a fixed…
We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Levy process so as to minimize the total costs comprising of the running and control costs where the latter…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
The paper presents new sufficient conditions for the property of strong bi-metric regularity of the optimality map associated with an optimal control problem which is affine with respect to the control variable ({\em affine problem}). The…