Related papers: Pathwise turnpike and dissipativity results for di…
This paper presents analyses for the maximum hands-off control using the geometric methods developed for the theory of turnpike in optimal control. First, a sufficient condition is proved for the existence of the maximum hands-off control…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
This work is concerned with a hierarchical framework of optimal control problems connecting interacting particle systems, the mean field limit equations, and associated hydrodynamic models. By assuming the existence of solutions, we…
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…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
This work presents an efficient method to solve a class of continuous-time, continuous-space stochastic optimal control problems of robot motion in a cluttered environment. The method builds upon a path integral representation of the…
Near equilibrium, thermodynamic intuition suggests that fast, irreversible processes will dissipate more energy and entropy than slow, quasistatic processes connecting the same initial and final states. Here, we test the hypothesis that…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
This paper investigates the central role played by the Hamiltonian in continuous-time nonlinear optimal control problems. We show that the strict convexity of the Hamiltonian in the control variable is a sufficient condition for the…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
This work addresses the problem of vehicle path planning in the presence of obstacles and uncertainties, which is a fundamental problem in robotics. While many path planning algorithms have been proposed for decades, many of them have dealt…
We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this…
This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…
We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and anticipative controls. We first establish the well-posedness…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
The aim of this paper is to examine the large-scale behavior of dynamical optimal transport on stationary random graphs embedded in $\R^n$. Our primary contribution is a stochastic homogenization result that characterizes the effective…
We first derive a general integral-turnpike property around a set for infinite-dimensional non-autonomous optimal control problems with any possible terminal state constraints, under some appropriate assumptions. Roughly speaking, the…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
This work recasts time-dependent optimal control problems governed by partial differential equations in a Dynamic Mode Decomposition with control framework. Indeed, since the numerical solution of such problems requires a lot of…
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…