Related papers: Numerical Methods for Optimal Control Problems wit…
In this article, we study a model-free design approach for stochastic linear quadratic (SLQ) controllers. Based on the convexity of the SLQ dual problem and the Karush-Kuhn-Tucker (KKT) conditions, we find the relationship between the…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matrices are associated with random parameters involving unknown…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
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…
Time scale separation is a natural property of many control systems that can be ex- ploited, theoretically and numerically. We present a numerical scheme to solve optimal control problems with considerable time scale separation that is…
We design and analyze solution techniques for a linear-quadratic optimal control problem involving the integral fractional Laplacian. We derive existence and uniqueness results, first order optimality conditions, and regularity estimates…
Optimization problems with $L^1$-control cost functional subject to an elliptic partial differential equation (PDE) are considered. However, different from the finite dimensional $l^1$-regularization optimization, the resulting discretized…
A numerical analysis for the fully discrete approximation of an operator Lyapunov equation related to linear SPDEs (stochastic partial differential equations) driven by multiplicative noise is considered. The discretization of the Lyapunov…
In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…
The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons…
This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…
In this paper, elliptic optimal control problems involving the $L^1$-control cost ($L^1$-EOCP) is considered. To numerically discretize $L^1$-EOCP, the standard piecewise linear finite element is employed. However, different from the finite…
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…
The challenge of constructing feedback control laws for risk-averse optimal control of partial differential equations (PDEs) with random coefficients is addressed. The control objective composes a tracking-type cost with the nonlinear…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the control), and without any non-degeneracy condition on the…