Related papers: Stochastic Control Problems Motivated by Sailboat …
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
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…
In Stochastic Optimal Control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive),…
We study the problem of data-driven, constrained control of unknown nonlinear dynamics from a single ongoing and finite-horizon trajectory. We consider a one-step optimal control problem with a smooth, black-box objective, typically a…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
In this paper we study a distributed optimal control problem for a three-dimensional Navier-Stokes-$\alpha$ model. We prove the solvability of the optimal control problem, and derive first-order optimality conditions by using a Lagrange…
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…
This paper studies the formation mission design problem for commercial aircraft in the presence of uncertainties. Specifically, it considers uncertainties in the departure times of the aircraft and in the fuel burn savings for the trailing…
In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift "changes" into a Brownian motion with positive drift. The change occurs at an unknown "disorder" time with exponential…
Motivated by the applications, a class of optimal control problems is investigated, where the goal is to influence the behavior of a given population through another controlled one interacting with the first. Diffusive terms accounting for…
Stochastic optimal control of dynamical systems is a crucial challenge in sequential decision-making. Recently, control-as-inference approaches have had considerable success, providing a viable risk-sensitive framework to address the…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Brownian motion and a running maximum process, indicating its…
Designing spacecraft trajectories remains challenging in the presence of stochastic effects such as maneuver execution errors and observation uncertainties. Although covariance control and belief-space planning provide useful tools for…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process $X$ with values in a space of continuous functions $\mathbf C$, with…
We present in this paper a numerical method which computes the optimal trajectory of a underwater vehicle subject to some mission objectives. The method is applied to a submarine whose goal is to best detect one or several targets, or/and…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…