Related papers: Linear models of dynamic optimization with linear …
We consider linear programming (LP) problems in infinite dimensional spaces that are in general computationally intractable. Under suitable assumptions, we develop an approximation bridge from the infinite-dimensional LP to tractable finite…
In the present paper, several types of efficiency conditions are established for vector optimization problems with cone constraints affected by uncertainty, but with no information of stochastic nature about the uncertain data. Following a…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
The classical Euler's problem on optimal configurations of elastic rod in the plane with fixed endpoints and tangents at the endpoints is considered. The global structure of the exponential mapping that parameterises extremal trajectories…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
We provide a generalization of first-order necessary conditions of optimality for infinite-dimensional optimization problems with a finite number of inequality constraints and with a finite number of inequality and equality constraints. Our…
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, two needed assumptions are identified. A…
For any quantity of interest in a system governed by ordinary differential equations, it is natural to seek the largest (or smallest) long-time average among solution trajectories, as well as the extremal trajectories themselves. Upper…
Due to their relevance in systems analysis and (robust) controller design, we consider the problem of determining control-theoretic system properties of an a priori unknown system from data only. More specifically, we introduce a necessary…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We clarify the conditions under which the…
New form of sufficient optimality condition is obtained in comparison with the Mangasarian sufficiency theorem. Both finite and infinite values of objective functional are allowed since concepts of overtaking and weakly overtaking…
Many nonlinear optimal control and optimization problems involve constraints that combine continuous dynamics with discrete logic conditions. Standard approaches typically rely on mixed-integer programming, which introduces scalability…
This letter investigates dynamical optimal transport of underactuated linear systems over an infinite time horizon. In our previous work, we proposed to integrate model predictive control and the celebrated Sinkhorn algorithm to perform…
Many real-world problems require to optimise trajectories under constraints. Classical approaches are based on optimal control methods but require an exact knowledge of the underlying dynamics, which could be challenging or even out of…
We consider a broad class of dynamic programming (DP) problems that involve a partially linear structure and some positivity properties in their system equation and cost function. We address deterministic and stochastic problems, possibly…
We consider Continuous Linear Programs over a continuous finite time horizon $T$, with linear cost coefficient functions, linear right hand side functions, and a constant coefficient matrix, as well as their symmetric dual. We search for…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
In this paper we study an infinite-horizon persistent monitoring problem in a two-dimensional mission space containing a finite number of statically placed targets, at each of which we assume a constant rate of uncertainty accumulation.…