Related papers: Linear models of dynamic optimization with linear …
We derive novel algorithms for optimization problems constrained by partial differential equations describing multiscale particle dynamics, including non-local integral terms representing interactions between particles. In particular, we…
A finite-horizon optimal estimation problem for discrete-time linear systems is formulated and solved. The formulation is a natural extension of that which yields a deadbeat observer. The resultant observer is the dual of the controller…
A finite horizon optimal tracking problem is considered for linear dynamical systems subject to parametric uncertainties in the state-space matrices and exogenous disturbances. A suboptimal solution is proposed using a model predictive…
We present an algorithm, based on the Differential Dynamic Programming framework, to handle trajectory optimization problems in which the horizon is determined online rather than fixed a priori. This algorithm exhibits exact one-step…
Basis splines enable a time-continuous feasibility check with a finite number of constraints. Constraints apply to the whole trajectory for motion planning applications that require a collision-free and dynamically feasible trajectory.…
This paper studies multiobjective optimal control problems in the continuous-time framework when the space of states and the space of controls are infinite-dimensional and with lighter smoothness assumptions than the usual ones. The paper…
Constraints imposed directly on accelerations of the system leading to the relation of constants of motion with appropriate local projectors occurring in the derived equations are considered. In this way a generalization of the Noether's…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
In this paper we consider a class of optimization problems with a strongly convex objective function and the feasible set given by an intersection of a simple convex set with a set given by a number of linear equality and inequality…
In this paper, we consider how to construct the optimal solutions for a general discrete time infinite horizon optimal control problem. We establish necessary and sufficient conditions for optimality in the sense of a modified optimality…
Infinite-dimensional optimization (InfiniteOpt) problems involve modeling components (variables, objectives, and constraints) that are functions defined over infinite-dimensional domains. Examples include continuous-time dynamic…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
We obtain higher order necessary conditions for a minimum of a Mayer optimal control problem connected with a nonlinear, control-affine system, where the controls range on an m-dimensional Euclidean space. Since the allowed velocities are…
We study L 1 -optimal stabilization of linear systems with finite and infinite horizons. Main results concern the existence, uniqueness and structure of optimal solutions, and the robustness of optimal cost.
In this paper we prove existence and uniqueness of viscosity solutions of elliptic systems associated to fully nonlinear operators for minimization problems that involve interconnected obstacles. This system appears, among other, in the…
We give an effective sufficient condition for a variational problem with infinite horizon on a compact Riemannian manifold M to admit a smooth optimal synthesis, i. e. a smooth dynamical system on M whose positive semi-trajectories are…
We consider problems of the calculus of variations on unbounded time scales. We prove the validity of the Euler-Lagrange equation on time scales for infinite horizon problems, and a new transversality condition.
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
We propose a new approach to solving bilevel optimization problems, intermediate between solving full-system optimality conditions with a Newton-type approach, and treating the inner problem as an implicit function. The overall idea is to…