Related papers: Path integral control under McKean-Vlasov dynamics
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
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…
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 associated with the dynamics of the orientation of a bipolar molecule in the plane can be understood by means of tools in differential geometry. For first time in the literature $k$-symplectic formalism is used to…
We consider optimal control of the scalar wave equation where the control enters as a coefficient in the principal part. Adding a total variation penalty allows showing existence of optimal controls, which requires continuity results for…
We consider controlling the paths of a spectrally negative L\'evy process by two means: the subtraction of `taxes' when the process is at an all-time maximum, and the addition of `bailouts' which keep the value of the process above zero. We…
In this paper we study optimal control problems in Wasserstein spaces, which are suitable to describe macroscopic dynamics of multi-particle systems. The dynamics is described by a parametrized continuity equation, in which the Eulerian…
The ability to manipulate and control fluid flows is of great importance in many scientific and engineering applications. Here, a cluster-based control framework is proposed to determine optimal control laws with respect to a cost function…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We formulate an economic optimal control problem for transport of natural gas over a large-scale transmission pipeline network under transient flow conditions. The objective is to maximize economic welfare for users of the pipeline system,…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
Ever since the concepts of dynamic programming were introduced, one of the most difficult challenges has been to adequately address high-dimensional control problems. With growing dimensionality, the utilisation of Deep Neural Networks…
This note proposes a general control approach, called vector-field guided constraint-following control, to solve the dynamics control problem of geometric path-following for a class of uncertain mechanical systems. More specifically, it…
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
When a physical system is driven away from equilibrium, the statistical distribution of its dynamical trajectories informs many of its physical properties. Characterizing the nature of the distribution of dynamical observables, such as a…
The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…