Related papers: Remarks on finite and infinite time-horizon optima…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
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…
The problem of resource allocation of nonlinear networked control systems is investigated, where, unlike the well discussed case of triggering for stability, the objective is optimal triggering. An approximate dynamic programming approach…
We investigate a few problems in the theory of linear time-invariant systems that arise when the open-loop system possesses imaginary eigenvalues. The problems are: (1) the infinite horizon, minimum energy optimal control problem; (2) the…
We address a class of systems for which the solution to an H-infinity optimal control problem can be given on a very simple closed form. In fact, both the control law and optimal performance value are explicitly given. The class of systems…
In an infinite-horizon optimal control problem the stability of the adjoint variable implying the vanishing of the adjoint variable at infinity along optimal solution.
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 present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
We address the problem of computing a control for a time-dependent nonlinear system to reach a target set in a minimal time. To solve this minimal time control problem, we introduce a hierarchy of linear semi-infinite programs, the values…
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
A finite-horizon optimal estimation problem for discrete-time linear systems is formulated and solved. The formulation is a natural extension of that which yields a deadbeat observer. The resultant observer is the dual of the controller…
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
In this paper, we consider a linear quadratic (LQ) optimal control problem in both finite and infinite dimensions. We derive an asymptotic expansion of the value function as the fixed time horizon T tends to infinity. The leading term in…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
We deal with the convergence of the value function of an approximate control problem with uncertain dynamics to the value function of a nonlinear optimal control problem. The assumptions on the dynamics and the costs are rather general and…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…