Related papers: Maximum principle for optimal control of interacti…
Optimal control of large particle systems with collective dynamics by few agents is a subject of high practical importance (e.g. in evacuation dynamics), but still limited mathematical basis. In particular the transition from discrete…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
We consider an optimal control problem for a system of local continuity equations on a space of probability measures. Such systems can be viewed as macroscopic models of ensembles of non-interacting particles or homotypic individuals,…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
The article is devoted to the problem of applying the maximum principle for finding optimal control parameters in simulation tasks of interest for a variety of engineering and industrial systems and processes. Especially important is the…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
Reaction-diffusion systems offer a powerful framework for understanding self-organized patterns in biological systems, yet controlling these patterns remains a significant challenge. As a consequence, we present a rigorous framework of…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…