Related papers: Stochastic maximum principle for optimal control p…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
In this paper we prove a weak necessary and sufficient maximum principle for Markovian regime switching stochastic optimal control problems. Instead of insisting on the maximum condition of the Hamiltonian, we show that 0 belongs to the sum…
We consider an infinite-horizon optimal control problem with an asymptotic terminal constraint. For the the weakly overtaking criterion and the overtaking criterion, necessary boundary conditions on co-state arcs are deduced, these…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…
Limited bandwidth and limited saturation in actuators are practical concerns in control systems. Mathematically, these limitations manifest as constraints being imposed on the control actions, their rates of change, and more generally, the…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
A Pontryagin maximum principle for an optimal control problem in three dimensional linearized compressible viscous flows is established using the Ekeland variational principle. The controls are distributed over a bounded domain, while the…
For a class of path-dependent stochastic evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. In this infinite-dimensional control…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…
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…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
The goal of this paper is to address finite-horizon minimum variance and covariance steering problems for discrete-time stochastic (Gaussian) linear systems. On the one hand, the minimum variance problem seeks for a control policy that will…