Related papers: On the time consistent solution to optimal stoppin…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theory for Levy processes. Since general diffusions are, in…
Many complex systems share two characteristics: 1) they are stochastic in nature, and 2) they are characterized by a large number of factors. At the same time, various natural complex systems appear to have two types of intertwined…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
Diffusion of a penetrating liquid in a polymeric material does not often satisfy the classical diffusion equations and requires taking relaxational (viscoelastic) properties of the polymer into account. We investigate a boundary value…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
A conditional entropic approach is discussed for nonequilibrium complex systems with a weak correlation between spatiotemporally fluctuating quantities on a large time scale. The weak correlation is found to constitute the fluctuation…
We consider an optimal control problem $\cQ$ governed by an elliptic quasivariational inequality with unilateral constraints. The existence of optimal pairs of the problem is a well known result, see \cite{SS}, for instance. We associate to…
Optimal Dirichlet boundary control for a fractional/normal evolution with a final observation is considered. The unique existence of the solution and the first-order optimality condition of the optimal control problem are derived. The…
The aim of this article is to investigate the well-posedness, stability and convergence of solutions to the time-dependent Maxwell's equations for electric field in conductive media in continuous and discrete settings. The situation we…
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a…
In distributed model predictive control (DMPC), where a centralized optimization problem is solved in distributed fashion using dual decomposition, it is important to keep the number of iterations in the solution algorithm, i.e. the amount…
In this paper, a space-time discontinuous Galerkin finite element method for distributed optimal control problems governed by unsteady diffusion-convection-reaction equations with control constraints is studied. Time discretization is…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
This paper studies a kind of minimal time control problems related to the exact synchronization for a controlled linear system of parabolic equations. Each problem depends on two parameters: the bound of controls and the initial state. The…
We study compressible and incompressible nonlinear elasticity variational problems in a general context. Our main result gives a sufficient condition for an equilibrium to be a global energy minimizer, in terms of convexity properties of…