Related papers: Approximately optimal distributed controls for hig…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
This paper deals with the distributed $\mathcal{H}_2$ optimal control problem for linear multi-agent systems. In particular, we consider a suboptimal version of the distributed $\mathcal{H}_2$ optimal control problem. Given a linear…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
A multi-agent optimization problem motivated by the management of energy systems is discussed. The associated cost function is separable and convex although not necessarily strongly convex and there exist edge-based coupling equality…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
We exploit the separation of the filtering and control aspects of quantum feedback control to consider the optimal control as a classical stochastic problem on the space of quantum states. We derive the corresponding Hamilton-Jacobi-Bellman…
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
We consider cooperative multi-agent consensus optimization problems over both static and time-varying communication networks, where only local communications are allowed. The objective is to minimize the sum of agent-specific possibly…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
This paper considers a distributed convex optimization problem over a time-varying multi-agent network, where each agent has its own decision variables that should be set so as to minimize its individual objective subject to local…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
We study the numerical realisation of optimal consensus control laws for agent-based models. For a nonlinear multi-agent system of Cucker-Smale type, consensus control is cast as a dynamic optimisation problem for which we derive…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
In this article, we consider a cooperative control problem involving a heterogeneous network of dynamically decoupled continuous-time linear plants. The (output-feedback) controllers for each plant may communicate with each other according…
We consider a multi-agent system in which a decentralized team of agents controls a stochastic system in the presence of an adversary. Instead of committing to a fixed information sharing protocol, the agents can strategically decide at…
We study a time-optimal control problem of a two-peakon collision. First, we state the controllability. Next, we find the time-optimal strategy. This is done via the HamiltonJacobi-Bellman equation and the dynamic programming method. We…