Related papers: Impulse approximate controllability for stochastic…
In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler…
The problem of partial null controllability for linear autonomous evolution equations, which are controlled by a one-dimensional control, is under consideration. The partial null-controllability conditions for coupled abstract evolution…
We develop a mathematical model for sailboat navigation that can play the same role that the Black and Scholes model plays in mathematical finance: it captures essential features of sailboat navigation, it can provide insights that might…
Many real-world optimization problems occur in environments that change dynamically or involve stochastic components. Evolutionary algorithms and other bio-inspired algorithms have been widely applied to dynamic and stochastic problems.…
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 consider stochastic model predictive control of a multi-agent systems with constraints on the probabilities of inter-agent collisions. We first study a sample-based approximation of the collision probabilities and use this approximation…
This paper examines the impulse controllability of degenerate singular parabolic equations through a modern framework focused on finite-time stabilization. Furthermore, we provide an explicit estimate for the exponential decay of the…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
While Robust Model Predictive Control considers the worst-case system uncertainty, Stochastic Model Predictive Control, using chance constraints, provides less conservative solutions by allowing a certain constraint violation probability…
Several dynamical systems in fields such as engineering, chemistry, biology, and physics show impulsive behavior by reason of unexpected changes at specific times. These behaviors are described by differential systems under impulse effects.…
Model predictive control allows solving complex control tasks with control and state constraints. However, an optimal control problem must be solved in real-time to predict the future system behavior, which is hardly possible on embedded…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
In this paper, a characterization of the solution of impulse control problems in terms of superharmonic functions is given. In a general Markovian framework, the value function of the impulse control problem is shown to be the minimal…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
The paper puts forward sufficient conditions for local controllability of a control dynamical system. The results obtained are meaningful in the case when the linear approximation to this system is not completely controllable. As a…
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 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 derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…