Related papers: Optimal consumption under relaxed benchmark tracki…
This paper introduces and analyses a continuous optimization approach to solve optimal control problems involving ordinary differential equations (ODEs) and tracking type objectives. Our aim is to determine control or input functions, and…
We consider the problem of optimal sparse output feedback controller synthesis for continuous linear time invariant systems when the feedback gain is static and subject to specified structural constraints. Introducing an additional term…
We consider the problem of optimal distributed beamforming in a sensor network where the sensors observe a dynamic parameter in noise and coherently amplify and forward their observations to a fusion center (FC). The FC uses a Kalman filter…
A re-entrant manufacturing system producing a large number of items and involving many steps can be approximately modeled by a hyperbolic partial differential equation (PDE) according to mass conservation law with respect to a continuous…
The article discusses the gradient discretisation method (GDM) for distributed optimal control problems governed by diffusion equation with pure Neumann boundary condition. Using the GDM framework enables to develop an analysis that…
In this paper, we consider the decentralized optimization problems with generalized orthogonality constraints, where both the objective function and the constraint exhibit a distributed structure. Such optimization problems, albeit…
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk (NUPBR). Rather than base the dual domain on (local)…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
The paper is concerned with an optimal control problem governed by the rate-independent system of quasi-static perfect elasto-plasticity. The objective is to optimize the stress field by controlling the displacement at prescribed parts of…
This thesis investigates optimal trajectory tracking of nonlinear dynamical systems with affine controls. The control task is to enforce the system state to follow a prescribed desired trajectory as closely as possible. The concept of…
We study the optimal liquidation problems in target zone models using dynamic programming methods. Such control problems allow for stochastic differential equations with reflections and random coefficients. The value function is…
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…
This paper considers two different problems in trajectory tracking control for linear systems. First, if the control is not unique which is most input energy efficient. Second, if exact tracking is infeasible which control performs most…
Robust output tracking is addressed in this paper for a heat equation with Neumann boundary conditions and anti-collocated boundary input and output. The desired reference tracking is solved using the well-known flatness and Lyapunov…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
We consider a nonlinear optimal control problem with dynamics described by a differential inclusion involving a maximal monotone map $A:\mathbb{R}^N\rightarrow2^{\mathbb{R}^N}$. We do not assume that $D(A)=\mathbb{R}^N$, incorporating in…
During the Great Recession, Democrats in the United States argued that government spending could be utilized to "grease the wheels" of the economy in order to create wealth and to increase employment; Republicans, on the other hand,…