Related papers: Bang-Bang Evasion: Its Stochastic Optimality and a…
We consider optimal control of a stochastic network,where service is controlled to prevent buffer overflow. We use a risk-sensitive escape time criterion, which in comparison to the ordinary escape time criteria heavily penalizes exits…
We solve a sequential decision-making problem under uncertainty that takes into account the failure probability of a task. This problem cannot be handled by the stochastic shortest path problem, which is the standard model for sequential…
This paper introduces a new formulation for stochastic optimal control and stochastic dynamic optimization that ensures safety with respect to state and control constraints. The proposed methodology brings together concepts such as…
In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…
We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
This paper proposes a nonlinear optimal guidance law that enables a pursuer to enclose a target within arbitrary geometric patterns, which extends beyond conventional circular encirclement. The design operates using only relative state…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…
In this paper we study optimal stopping problems with respect to distorted expectations of the form \begin{eqnarray*} \mathcal{E}(X)=\int_{-\infty}^{\infty} x\,dG(F_X(x)), \end{eqnarray*} where $F_X$ is the distribution function of $X$ and…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
This paper presents a novel approach for achieving safe stochastic optimal control in networked multi-agent systems (MASs). The proposed method incorporates barrier states (BaSs) into the system dynamics to embed safety constraints. To…
This paper investigates the application of game-theoretic principles combined with advanced Kalman filtering techniques to enhance maritime target tracking systems. Specifically, the paper presents a two-player, imperfect information,…
We develop a principled approach to end-to-end learning in stochastic optimization. First, we show that the standard end-to-end learning algorithm admits a Bayesian interpretation and trains a posterior Bayes action map. Building on the…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…