Related papers: The Ces\`aro Value Iteration
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
We study the long-run properties of optimal control problems in continuous time, where the running cost of a control problem is evaluated by a probability measure over R_+. Li, Quincampoix and Renault [DCDS-A, 2016] introduced an asymptotic…
We analyse a version of the policy iteration algorithm for the discounted infinite-horizon problem for controlled multidimensional diffusion processes, where both the drift and the diffusion coefficient can be controlled. We prove that,…
In this work, solution of the finite horizon hybrid optimal control problem as the central element of the receding horizon optimal control (model predictive control) is investigated based on the indirect approach. The response of a hybrid…
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…
We establish a Poincar\`E-Bendixson type result for a weighted averaged infinite horizon problem in the plane, with and without averaged constraints. For the unconstrained problem, we establish the existence of a periodic optimal solution,…
The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…
Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…
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…
This paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage…
We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon…
In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…
This paper presents a novel value iteration (VI) algorithm for finding the optimal control for a kind of infinite-horizon stochastic linear quadratic (SLQ) problem with unknown systems. First, an off-line algorithm is estabilished to obtain…
Inverse optimal control (IOC) aims to estimate the underlying cost that governs the observed behavior of an expert system. However, in practical scenarios, the collected data is often corrupted by noise, which poses significant challenges…
In this paper, we propose a new design method of discrete-valued control for continuous-time linear time-invariant systems based on sum-of-absolute-values (SOAV) optimization. We first formulate the discrete-valued control design as a…
We consider infinite horizon optimal control problems with time averaging and time discounting criteria and give estimates for the Cesaro and Abel limits of their optimal values in the case when they depend on the initial conditions. We…