Related papers: A Time-Inconsistent Stochastic Optimal Control Pro…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function. To address this, we adopt a game-theoretic framework and…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper…
The stochastic linear--quadratic regulator problem subject to Gaussian disturbances is well known and usually addressed via a moment-based reformulation. Here, we leverage polynomial chaos expansions, which model random variables via series…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
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.…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
This paper investigates the intrinsic formation problem of a multi-agent system using an exogenous system. The problem is formulated as an intrinsic infinite time-horizon linear quadratic optimal control problem, namely, no formation error…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
We present a hierarchical computation approach for solving finite-time optimal control problems using operator splitting methods. The first split is performed over the time index and leads to as many subproblems as the length of the…
In this paper we deal with infinite horizon optimal control problems. Basing on weak variations in an extremal problem in weighted function spaces we prove necessary conditions in form of the adjoint equation and a variational inequality.…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
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…
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…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…