Related papers: Impulse approximate controllability for stochastic…
This paper studies a stochastic optimal control problem with state constraint, where the state equation is described by a controlled stochastic evolution equation with jumps in Hilbert Space and the control domain is assumed to be convex.…
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…
This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…
The purpose of this paper is to establish first and second order necessary optimality conditions for optimal control problems of stochastic evolution equations with control and state constraints. The control acts both in the drift and…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
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…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
In this paper, we consider the problem of minimum-time optimal control for a dynamical system with initial state uncertainties and propose a sequential convex programming (SCP) solution framework. We seek to minimize the expected terminal…
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…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For the…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
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 paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
Finding minimal time and establishing the structure of the corresponding optimal controls which can transfer a given initial state of a quantum system into a given target state is a key problem of quantum control. In this work, this problem…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…