Related papers: Impulse approximate controllability for stochastic…
Adaptive optimal control using value iteration initiated from a stabilizing control policy is theoretically analyzed in terms of stability of the system during the learning stage without ignoring the effects of approximation errors. This…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
We present novel results on the solution of a class of leavable, undiscounted optimal control problems in the minimax sense for nonlinear, continuous-state, discrete-time plants. The problem class includes entry-(exit-)time problems as well…
This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the optimization problem by reducing the constraints to a finite…
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
Recent low-thrust space missions have highlighted the importance of designing trajectories that are robust against uncertainties. In its complete form, this process is formulated as a nonlinear constrained stochastic optimal control…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
In the present paper, we study the existence and optimal controllability of a multi-term time-fractional stochastic system with non-instantaneous impulses. Using semigroup theory, stochastic analysis theory, and Krasnoselskii's fixed point…
The exact controllability to the origin for linear evolution control equation is considered.The problem is investigated by its transformation to infinite linear moment problem. Conditions for the existence of solution for infinite linear…