Related papers: Impulsive optimal control problems with time delay…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
We consider the problem of damping a control system with delay described by first-order functional-differential equations on a temporal tree. The delay in the system is time-proportional and propagates through the internal vertices. The…
We consider bounded extremum seeking controls for time-varying linear systems with uncertain coefficient matrices and measurement uncertainty. Using a new change of variables, Lyapunov functions, and a comparison principle, we provide…
In this note our aim is to give a proof of the Pontryagin maximum principle for a general optimal control problem with running state constraints and smooth dynamics. Our proof is based on the classical Ekeland variational principle. The…
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…
We consider a nonlinear control system depending on two controls u and v, with dynamics affine in the (unbounded) derivative of u, and v appearing initially only in the drift term. Recently, motivated by applications to optimization…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
The paper concerns the study and applications of a new class of optimal control problems governed by a perturbed sweeping process of the hysteresis type with control functions acting in both play-and-stop operator and additive…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
We consider the problem of damping a control system with delay, described by first-order functional-differential equations on a temporal star graph. The delay in the system is time-proportional and propagates through the internal vertex. We…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
We present a novel technique to drive a nonlinear system to reach a target state under input constraints. The proposed controller consists only of piecewise constant inputs, generated from a simple linear driftless approximation to the…
An optimal control problem for longitudinal motions of a thin elastic rod is considered. We suppose that a normal force, which changes piecewise constantly along the rod's length, is applied to the cross-section so that the positions of…
We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depend on the past trajectories. The adjoint equations turn out…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…