Related papers: A general maximum principle for optimal control of…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
In this paper, we consider the optimal control problem for a class of evolution inclusions with Volterra type operators, which can be history-dependent. We establish the existence of a solution to the stated optimal control problem under…
This article develops variational integrators for a class of underactuated mechanical systems using the theory of discrete mechanics. Further, a discrete optimal control problem is formulated for the considered class of systems and…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function.…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
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 study optimal proportional feedback controllers for spatially invariant systems when the controller has access to delayed state measurements received from different spatial locations. We analyze how delays affect the spatial locality of…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
Time delays are ubiquitous in industrial processes, and they must be accounted for when designing control algorithms because they have a significant effect on the process dynamics. Therefore, in this work, we propose a simultaneous approach…
This paper develops numerical methods for optimal control of mechanical systems in the Lagrangian setting. It extends the theory of discrete mechanics to enable the solutions of optimal control problems through the discretization of…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
This paper discusses a method enabling optimal control of nonlinear systems that are subject to parametric uncertainty. A stochastic optimal tracking problem is formulated that can be expressed in function of the first two stochastic…