Related papers: Convergence analysis for an implementable scheme t…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
In this work, we analyse the discretisation of a recently proposed new Lagrangian approach to optimal control problems of affine-controlled second-order differential equations with cost functions quadratic in the controls. We propose exact…
A family of optimal control problems for a single and two coupled spinning particles in the Euler-Lagrange formalism is discussed. A characteristic of such problems is that the equations controlling the system are implicit and a reduction…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We…
In this paper we investigate a priori error estimates for the space-time Galerkin finite element discretization of a simplified semilinear gradient enhanced damage model. The model equations are of a special structure as the state equation…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…
We consider nonsmooth optimal control problems subject to a linear elliptic partial differential equation with homogeneous Dirichlet boundary conditions. It is well-known that local solutions satisfy the celebrated Pontryagin maximum…
We study a pointwise tracking optimal control problem for the stationary Navier--Stokes equations; control constraints are also considered. The problem entails the minimization of a cost functional involving point evaluations of the state…
We propose and analyze a posteriori error estimators for an optimal control problem that involves an elliptic partial differential equation as state equation and a control variable that enters the state equation as a coefficient; pointwise…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
In this paper we investigate a priori error estimates for the space-time Galerkin finite element discretization of an optimal control problem governed by a simplified linear gradient enhanced damage model. The model equations are of a…
This paper develops a quantitative framework for analyzing the mean-square exponential stabilization of stochastic linear systems with multiplicative noise, focusing specifically on the optimal stabilizing rate, which characterizes the…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…
We consider a control-constrained optimal control problem subject to time-harmonic Maxwell's equations; the control variable belongs to a finite-dimensional set and enters the state equation as a coefficient. We derive existence of optimal…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…