Related papers: On Information Controls
A new approach to feedback control design based on optimal control is proposed. Instead of expensive computations of the value function for different penalties on the states and inputs, we use a control Lyapunov function that amounts to be…
This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists in a controlled differential inclusion with a discontinuous right hand side, which still preserves existence and uniqueness…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
We study the structure of a simple dynamic optimization problem consisting of one state and one control variable, from a physicist's point of view. By using an analogy to a physical model, we study this system in the classical and quantum…
We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Douglas production function in the capital dynamics while the…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
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…
A large number of recent studies consider a compartmental SIR model to study optimal control policies aimed at containing the diffusion of COVID-19 while minimizing the economic costs of preventive measures. Such problems are non-convex and…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…
In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional…
We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimizer selection, we derive a new Hamilton--Jacobi--Bellman (HJB) equation to be called…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
This paper presents an inverse optimality method to solve the Hamilton-Jacobi-Bellman equation for a class of nonlinear problems for which the cost is quadratic and the dynamics are affine in the input. The method is inverse optimal because…
This paper is devoted to the stochastic optimal control problem of infinite-dimensional differential systems allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases studied by…