Related papers: Norm and time optimal control problems of stochast…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…
We consider the problem of time optimal control of a continuous bosonic quantum system subject to the action of a Markovian dissipation. In particular, we consider the case of a one mode Gaussian quantum system prepared in an arbitrary…
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…
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
In this paper the connection between stochastic optimal control and reinforcement learning is investigated. Our main motivation is to apply importance sampling to sampling rare events which can be reformulated as an optimal control problem.…
In this article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To this end, we consider the underlying Fokker-Planck equation…
We consider the control problem of the stochastic Navier-Stokes equations in multidimensional domains introduced in \cite{ocpc} restricted to noise terms defined by Q-Wiener processes. Using a stochastic maximum principle, we derive a…
In this work, we study the bilinear optimal stabilization of a non-homogeneous Fokker-Planck equation. We first study the problem of optimal control in a finite-time interval and then focus on the case of the infinite time horizon. We…
This paper is concerned with a boundary control problem for the Cahn--Hilliard equation coupled with dynamic boundary conditions. In order to handle the control problem, we restrict our analysis to the case of regular potentials defined on…
For a small system like a colloidal particle or a single biomolecule embedded in a heat bath, the optimal protocol of an external control parameter minimizes the mean work required to drive the system from one given equilibrium state to…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
This paper joins some concepts from Mechanics, Partial Differential Equations and Control Theory in order to solve bi-time optimization problems related to stress tensor in plastic deformations. The main goal is to analyze some optimal…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
We study the temperature control problem for Langevin diffusions in the context of non-convex optimization. The classical optimal control of such a problem is of the bang-bang type, which is overly sensitive to errors. A remedy is to allow…