Related papers: Value functional and optimal feedback control in l…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…
This paper addresses the problem of robust and optimal control for the class of nonlinear quadratic systems subject to norm-bounded parametric uncertainties and disturbances, and in presence of some amplitude constraints on the control…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
Optimal control problems of tracking type for a class of linear systems with uncertain parameters in the dynamics are investigated. An affine tracking feedback control input is obtained by considering the minimization of an energy-like…
We study two generalizations of fractional variational problems by considering higher-order derivatives and a state time delay. We prove a higher-order integration by parts formula involving a Caputo fractional derivative of variable order…
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of…
Feedback controllers for port-Hamiltonian systems reveal an intrinsic inverse optimality property since each passivating state feedback controller is optimal with respect to some specific performance index. Due to the nonlinear…
The challenge of constructing feedback control laws for risk-averse optimal control of partial differential equations (PDEs) with random coefficients is addressed. The control objective composes a tracking-type cost with the nonlinear…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…
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…
In this work, new theoretical results on functional type a posteriori estimates for elliptic optimal control problems with control constraints are presented. More precisely, we derive new, sharp, guaranteed and fully computable lower bounds…
In this paper, we present a novel method for computing the optimal feedback gain of the infinite-horizon Linear Quadratic Regulator (LQR) problem via an ordinary differential equation. We introduce a novel continuous-time Bellman error,…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
Optimal control theory is a powerful tool for improving figures of merit in quantum information tasks. Finding the solution to any optimal control problem via numerical optimization depends crucially on the choice of the optimization…