Related papers: Remarks on finite and infinite time-horizon optima…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
H-infinity optimal control and estimation are addressed for a class of systems governed by partial differential equations with bounded input and output operators. Diffusion equations are an important example in this class. Explicit formulas…
In this paper we consider a broad class of infinite horizon discrete-time optimal control models that involve a nonnegative cost function and an affine mapping in their dynamic programming equation. They include as special cases classical…
We consider the problem of impulse control minimax in finite horizon, when cost functions $(C(t,x,\xi)>0)$. We show existence of value function of the problem. Moreover, the value function is characterized as the unique viscosity solution…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We clarify the conditions under which the…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…
In this paper we provide optimal bounds for fully discrete approximations to finite horizon problems via dynamic programming. We adapt the error analysis in \cite{nos} for the infinite horizon case to the finite horizon case. We prove an a…
We consider a broad class of dynamic programming (DP) problems that involve a partially linear structure and some positivity properties in their system equation and cost function. We address deterministic and stochastic problems, possibly…
In optimal control problems, there exist different kinds of extremals, that is, curves candidates to be solution: abnormal, normal and strictly abnormal. The key point for this classification is how those extremals depend on the cost…
We revisit the optimal control problem of maximizing biogas production in continuous bio-processes in two directions: 1. over an infinite horizon, 2. with sub-optimal controllers independent of the time horizon. For the first point, we…
A self-learning approach for optimal feedback gains for finite-horizon nonlinear continuous time control systems is proposed and analysed. It relies on parameter dependent approximations to the optimal value function obtained from a family…
This paper studies multiobjective optimal control problems in the continuous-time framework when the space of states and the space of controls are infinite-dimensional and with lighter smoothness assumptions than the usual ones. The paper…
An optimal control problem with an infinite horizon quadratic cost functional for a linear system with a known additive disturbance is considered. The feature of this problem is that a weight matrix of the control cost in the cost…
Approximate dynamic programming has been investigated and used as a method to approximately solve optimal regulation problems. However, the extension of this technique to optimal tracking problems for continuous time nonlinear systems has…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
Solutions to optimal control problems can be discontinuous, even if all the functionals defining the problem are smooth. This can cause difficulties when numerically computing solutions to these problems. While conventional numerical…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
In this work, we study the bilinear optimal stabilization of a non-homogeneous Fokker-Planck equation. We first study the problem of optimal control in a finite-time interval and then focus on the case of the infinite time horizon. We…