Related papers: A class of singular control problems with tipping …
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
Tipping points (TP) are abrupt transitions between metastable states in complex systems, most often described by a bifurcation or crisis of a multistable system induced by a slowly changing control parameter. An avenue for predicting TPs in…
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…
This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state variables. Here the term "overlapping" means that there are…
Traveling localized spots represent an important class of self-organized two-dimensional patterns in reaction-diffusion systems. We study open-loop control intended to guide a stable spot along a desired trajectory with desired velocity.…
In this note, we consider the existence and uniqueness of the solution of a time-dependent optimal control problem constrained by a partial differential equation with uncertain inputs. Relying on the Lions' Lemma for deterministic problems,…
The minimum-time control problem consists in finding a control policy that will drive a given dynamic system from a given initial state to a given target state (or a set of states) as quickly as possible. This is a well-known challenging…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
Inverse problems of recovering space-dependent parameters, e.g., initial condition, space-dependent source or potential coefficient, in a subdiffusion model from the terminal observation have been extensively studied in recent years.…
The paper gives a systematic analysis of singularities of transition processes in dynamical systems. General dynamical systems with dependence on parameter are studied. A system of relaxation times is constructed. Each relaxation time…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…
Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment and return to the initial state. A base distribution of the…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
In this paper, we propose a chance constrained stochastic model predictive control scheme for reference tracking of distributed linear time-invariant systems with additive stochastic uncertainty. The chance constraints are reformulated…
In this paper we address optimal control problems in which the system parameters follow a probability distribution, and the optimization is based on average performance. These problems, known as Riemann-Stieltjes optimal control or optimal…
In this paper, we consider a diffusion process pertaining to a chain of distributed control systems with small random perturbation. The distributed control system is formed by n subsystems that satisfy an appropriate Hormander condition,…
The paper deals with a problem of control of a system characterized by the fact that the influence of controls on the dynamics of certain functions of state variables (called observables) is relatively weak and the rates of change of these…
This paper is concerned with the exact controllability of discrete-time stochastic system which is one of the basic problems of modern control theory. Though the exact controllability of continuous-time system governed by Ito stochastic…