Related papers: Extension of Switch Point Algorithm to Boundary-Va…
This survey is focused on certain sequential decision-making problems that involve optimizing over probability functions. We discuss the relevance of these problems for learning and control. The survey is organized around a framework that…
This paper gives sufficient conditions for a class of bang-bang extremals with multiple switches to be locally optimal in the strong topology. The conditions are the natural generalizations of the ones considered in previous papers for more…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…
We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
In many applications, and in systems/synthetic biology, in particular, it is desirable to compute control policies that force the trajectory of a bistable system from one equilibrium (the initial point) to another equilibrium (the target…
A class of optimal control problems of hybrid nature governed by semilinear parabolic equations is considered. These problems involve the optimization of switching times at which the dynamics, the integral cost, and the bounds on the…
We establish a general framework that guarantees the preservation of optimal control patterns as the time horizon $[0,T]$ increases and becomes unbounded. A concept of pattern-preserving family of optimal control problems is introduced and…
This paper presents an adaptive multiple-shooting method to solve stochastic multi-point boundary value problems. The heuristic to choose the shooting points is based on separating the effects of drift and diffusion terms and comparing the…
An algorithm for constructing a control function that transfers a wide class of stationary nonlinear systems of ordinary differential equations from an initial state to a final state under certain control restrictions is proposed. The…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
Both the backpropagation algorithm in machine learning and the maximum principle in optimal control theory are posed as a two-point boundary problem, resulting in a "forward-backward" lock. We derive a reformulation of the maximum principle…
Schr\"{o}dinger bridge is a stochastic optimal control problem to steer a given initial state density to another, subject to controlled diffusion and deadline constraints. A popular method to numerically solve the Schr\"{o}dinger bridge…
We investigate modifications to Bayesian Optimization for a resource-constrained setting of sequential experimental design where changes to certain design variables of the search space incur a switching cost. This models the scenario where…
This article solves an optimal control problem arising in attitude control of a spacecraft under state and control constraints. We first derive the discrete-time attitude dynamics by employing discrete mechanics. The orientation transfer,…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…