Related papers: Stochastic maximum principle for hybrid optimal co…
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process $\nu$ whose components have paths of bounded variation. The presence of the process $\nu$ prevents from…
This paper considers the problem of state tracking with observation control for a particular class of dynamical systems. The system state evolution is described by a discrete-time, finite-state Markov chain, while the measurement process is…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
In this paper, we consider a partial observed two-person zero-sum stochastic differential game problem where the system is governed by a stochastic differential equation of mean-field type. Under standard assumptions on the coefficients,…
Model predictive control offers a powerful framework for managing constrained systems, but its repeated online optimization can become computationally prohibitive. Multiparametric programming addresses this challenge by precomputing optimal…
Within the framework of viscosity solution, we study the relationship between the maximum principle (MP) in [9] and the dynamic programming principle (DPP) in [10] for a fully coupled forward-backward stochastic controlled system (FBSCS)…
Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
When a physical system is driven away from equilibrium, the statistical distribution of its dynamical trajectories informs many of its physical properties. Characterizing the nature of the distribution of dynamical observables, such as a…
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…
This paper is concerned with a characterization of the observability for a continuous-time hidden Markov model where the state evolves as a general continuous-time Markov process and the observation process is modeled as nonlinear function…
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…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
We present a new, tractable method for solving and analyzing risk-aware control problems over finite and infinite, discounted time-horizons where the dynamics of the controlled process are described as a martingale problem. Supposing…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal…