Related papers: The maximum principle for discrete-time control sy…
We establish the existence of optimal scheduling strategies for time-bounded reachability in continuous-time Markov decision processes, and of co-optimal strategies for continuous-time Markov games. Furthermore, we show that optimal control…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
First order optimization algorithms play a major role in large scale machine learning. A new class of methods, called adaptive algorithms, were recently introduced to adjust iteratively the learning rate for each coordinate. Despite great…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type,…
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…
We consider a nonzero-sum N-player Markov game on an abstract measurable state space with compact metric action spaces. The payoff functions are bounded Carath\'eodory functions and the transitions of the system are assumed to have a…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
Control of multi-agent systems via game theory is investigated. Assume a system level object is given, the utility functions for individual agents are designed to convert a multi-agent system into a potential game. First, for fixed…
We consider the problem of risk-sensitive control of a stochastic network. In controlling such a network, an escape time criterion can be useful if one wishes to regulate the occurrence of large buffers and buffer overflow. In this paper a…
We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…
Using the tools of the Markov Decision Processes, we justify the dynamic programming approach to the optimal impulse control of deterministic dynamical systems. We prove the equivalence of the integral and differential forms of the…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
The main goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and so-called noisy memory. We derive suffcient and necessary maximum principles…
We introduce a novel class of Nash equilibrium seeking dynamics for non-cooperative games with a finite number of players, where the convergence to the Nash equilibrium is bounded by a KL function with a settling time that can be upper…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…