Related papers: Discrete-time Approximation of Stochastic Optimal …
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…
We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…
In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
We discuss several optimization procedures to solve finite element approximations of linear-quadratic Dirichlet optimal control problems governed by an elliptic partial differential equation posed on a 2D or 3D Lipschitz domain. The control…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
The main goal of this paper is developing the method of discrete approximations to derive necessary optimality conditions for a class of constrained sweeping processes with nonsmooth perturbations. Optimal control problems for sweeping…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
We study a Q learning algorithm for continuous time stochastic control problems. The proposed algorithm uses the sampled state process by discretizing the state and control action spaces under piece-wise constant control processes. We show…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
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…
This paper deals with optimal control problems described by a controlled version of Moreau's sweeping process governed by convex polyhedra, where measurable control actions enter additive perturbations. This class of problems, which…
We study a linear-quadratic optimal control problem involving a parabolic equation with fractional diffusion and Caputo fractional time derivative of orders $s \in (0,1)$ and $\gamma \in (0,1]$, respectively. The spatial fractional…
This paper revisits the partial information optimal control problem considered by Wang, Wu and Xiong [Wang et al 2013], where the system is derived by a controlled forward-backward stochastic differential equation with correlated noises…