Related papers: Convergence analysis for an implementable scheme t…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solves the equation where the possibly stochastic drift is…
The augmented Lagrange method is employed to address the optimal control problem involving pointwise state constraints in parabolic equations. The strong convergence of the primal variables and the weak convergence of the dual variables are…
We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear…
This work is devoted to convergence analysis of an exponential integrator scheme for semi-discretization in time of nonlinear stochastic wave equation. A unified framework is first set forth, which covers important cases of additive and…
In this paper, we focus on a method based on optimal control to address the optimization problem. The objective is to find the optimal solution that minimizes the objective function. We transform the optimization problem into optimal…
This paper develops and analyzes an optimal-order semi-discrete scheme and its fully discrete finite element approximation for nonlinear stochastic elastic wave equations with multiplicative noise. A non-standard time-stepping scheme is…
This paper studies stochastic control problems with the action space taken to be probability measures, with the objective penalised by the relative entropy. We identify suitable metric space on which we construct a gradient flow for the…
The linear quadratic Gaussian (LQG) control problem for the linear wave equation on the unit circle with fully distributed actuation and partial state measurements is considered. An analytical solution to a spatial discretization of the…
This paper addresses the optimal control problem of finite-horizon discrete-time nonlinear systems under state and control constraints. A novel numerical algorithm based on optimal control theory is proposed to achieve superior…
This paper studies an optimal control problem governed by a semilinear elliptic equation, in which the control acts in a multiplicative or bilinear way as the reaction coefficient of the equation. We focus on the numerical discretization of…
We consider a semi-Lagrangian scheme for solving the minimum time problem, with a given target, and the associated eikonal type equation. We first use a discrete time deterministic optimal control problem interpretation of the time…
Optimal control problems of forward stochastic Volterra integral equations (SVIEs) are formulated and studied. When control region is arbitrary subset of Euclidean space and control enters into the diffusion, necessary conditions of…
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
In this paper, an efficient parallel splitting method is proposed for the optimal control problem with parabolic equation constraints. The linear finite element is used to approximate the state variable and the control variable in spatial…