Related papers: Impulse approximate controllability for stochastic…
This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…
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 consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
The problem concerning the minimum time for an initial state to evolve up to a target state plays an important role in the Classic Optimal Control theory. In the quantum context, as quantum states are so sensitive to environmental…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
In this paper we present a method to approximate optimal feedback controls for stochastic reaction-diffusion equations. We derive two approximation results providing the theoretical foundation of our approach and allowing for explicit error…
A notion of $L^p$-exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Further, it is proved that the $L^p$-exact controllability,…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
The minimum-time control problem consists in finding a control policy that will drive a given dynamic system from a given initial state to a given target state (or a set of states) as quickly as possible. This is a well-known challenging…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
In this paper, motivated by the study of optimal control problems for infinite dimensional systems with endpoint state constraints, we introduce the notion of finite codimensional (exact/approximate) controllability. Some equivalent…