Related papers: An Optimal Control Problem with Terminal Stochasti…
This paper addresses the problem of solving a class of nonlinear optimal control problems (OCP) with infinite-dimensional linear state constraints involving Riesz-spectral operators. Each instance within this class has time/control…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
In this paper we consider the problem of the optimal control of an ensemble of affine-control systems. After proving the well-posedness of the minimization problem under examination, we establish a $\Gamma$-convergence result that allows us…
A continuous optimal control problem governed by an elliptic variational inequality was considered in Boukrouche-Tarzia, Comput. Optim. Appl., 53 (2012), 375-392 where the control variable is the internal energy $g$. It was proved the…
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…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
We study an optimal control problem under uncertainty, where the target function is the solution of an elliptic partial differential equation with random coefficients, steered by a control function. The robust formulation of the…
This work concentrates on a class of optimal control problems for semilinear parabolic equations subject to control constraint of the form $\|u(t)\|_{L^1(\Omega)} \le \gamma$ for $t \in (0,T)$. This limits the total control that can be…
We investigate the numerical approximation of an elliptic optimal control problem which involves a nonconvex local regularization of the $L^q$-quasinorm penalization (with $q\in(0,1)$) in the cost function. Our approach is based on the…
We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provide general error bounds for inexact CSA. Then, we propose two…
In this work, we consider optimality conditions of an optimal control problem governed by an obstacle problem. Here, we focus on introducing a, matrix valued, control variable as the coefficients of the obstacle problem. As it is well…
We propose an a posteriori error estimator for a sparse optimal control problem: the control variable lies in the space of regular Borel measures. We consider a solution technique that relies on the discretization of the control variable as…
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…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost…
This article considers the stochastic optimal control of discrete-time linear systems subject to (possibly) unbounded stochastic disturbances, hard constraints on the manipulated variables, and joint chance constraints on the states. A…
In this paper we discuss the numerical solution of elliptic distributed optimal control problems with state or control constraints when the control is considered in the energy norm. As in the unconstrained case we can relate the…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…