Related papers: Extension of Switch Point Algorithm to Boundary-Va…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…
An optimal boundary control problem for the one-dimensional heat equation is considered. The objective functional includes a standard quadratic terminal observation, a Tikhonov regularization term with regularization parameter $\nu$, and…
Time-optimal control for high-order chain-of-integrator systems with full state constraints remains an open and challenging problem within the discipline of optimal control. The behavior of optimal control in high-order problems lacks…
We consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic technique based on the concept of Snell envelopes. We then…
This work is concerned with a switching point optimization problem governed by a semilinear parabolic equation in abstract function spaces. It is shown that the switching-point-to-control mapping is continuously Fr\'echet-differentiable…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
Quantum optimal control is a technique for controlling the evolution of a quantum system and has been applied to a wide range of problems in quantum physics. We study a binary quantum control optimization problem, where control decisions…
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…
We consider optimal control problems involving two constraint sets: one comprised of linear ordinary differential equations with the initial and terminal states specified and the other defined by the control variables constrained by simple…
We propose and analyze a posteriori error estimates for a control-constrained optimal control problem with bang-bang solutions. We consider a solution strategy based on the variational approach, where the control variable is not…
We investigate the existence and multiplicity of solutions for higher order discrete boundary value problems via critical point theory.
The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component and its evolution is driven by both continuous Wiener noises…
In this paper, minimal time and minimal norm control problems are studied. The target sets considered are the origin of state spaces and controls are point-wisely bounded functions. The system stuided in this paper is assumed to have no the…
A bifurcation is a qualitative change in a family of solutions to an equation produced by varying parameters. In contrast to the local bifurcations of dynamical systems that are often related to a change in the number or stability of…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
We consider the problem of locating a jump discontinuity (change-point) in a smooth parametric regression model with a bounded covariate. It is assumed that one can sample the covariate at different values and measure the corresponding…
We construct a saddle point in a class of zero-sum games between a stopper and a singular-controller. The underlying dynamics is a one-dimensional, time-homogeneous, singularly controlled diffusion taking values either on $\mathbb{R}$ or on…
Decentralized optimization methods have been in the focus of optimization community due to their scalability, increasing popularity of parallel algorithms and many applications. In this work, we study saddle point problems of sum type,…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…