Related papers: Singular perturbations in stochastic optimal contr…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We propose a neural network approach for solving high-dimensional optimal control problems. In particular, we focus on multi-agent control problems with obstacle and collision avoidance. These problems immediately become high-dimensional,…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility from nonnegative random variables to the level of optimal…
We consider constrained partial differential equations of hyperbolic type with a small parameter $\varepsilon>0$, which turn parabolic in the limit case, i.e., for $\varepsilon=0$. The well-posedness of the resulting systems is discussed…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
We present a deep recurrent neural network architecture to solve a class of stochastic optimal control problems described by fully nonlinear Hamilton Jacobi Bellmanpartial differential equations. Such PDEs arise when one considers…
Controlling the stochastic dynamics of biological populations is a challenge that arises across various biological contexts. However, these dynamics are inherently nonlinear and involve a discrete state space, i.e., the number of molecules,…
This paper is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity…
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In…
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we…
The paper deals with the Neumann spectral problem for a singularly perturbed second order elliptic operator with bounded lower order terms. The main goal is to provide a refined description of the limit behaviour of the principal eigenvalue…
A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-Lipschitz continuous and non-linear growth conditions, the…
We address the approximation of entropy solutions to initial-boundary value problems for nonlinear strictly hyperbolic conservation laws using neural networks. A general and systematic framework is introduced for the design of efficient and…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
We study a class of hyperbolic Cauchy problems, associated with linear operators and systems with polynomially bounded coefficients, variable multiplicities and involutive characteristics, globally defined on R^n. We prove well-posedness in…
We propose a novel data-driven neural network (NN) optimization framework for solving an optimal stochastic control problem under stochastic constraints. Customized activation functions for the output layers of the NN are applied, which…
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique…
This paper studies the stability and $\mathcal{H}_{\infty}$ performance analysis problem for linear networked and quantized control systems with both communication delays random packet losses. To deal with the network-induced uncertainties…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…