Related papers: Infinite Horizon Optimal Control Problems with Dis…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…
We study a control problem governed by a semilinear parabolic equation with pointwise control and state constraints imposed at every point of the space-time cylinder. We obtain second order sufficient optimality conditions for local…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
We would like to study the solution stability of a parametric control problem governed by semilinear elliptic equations with a mixed state-control constraint, where the cost function is nonconvex and the admissible set is unbounded. The…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
We consider a distributed optimal control problem subject to a parabolic evolution equation as constraint. The control will be considered in the energy norm of the anisotropic Sobolev space $[H_{0;,0}^{1,1/2}(Q)]^\ast$, such that the state…
We study infinite horizon control of continuous-time non-linear branching processes with almost sure extinction for general (positive or negative) discount. Our main goal is to study the link between infinite horizon control of these…
This paper concerns a class of infinite horizon optimal control problems with state constraints. By extending the needle variation method to the infinite horizon case we obtain a complete set of necessary optimality conditions for a strong…
This paper considers the finite element approximation to parabolic optimal control problems with measure data in a nonconvex polygonal domain. Such problems usually possess low regularity in the state variable due to the presence of measure…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
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…
The present work is concerned with the stabilization of a general class of time-varying linear parabolic equations by means of a finite-dimensional receding horizon control (RHC). The stability and suboptimality of the unconstrained…
In this paper we provide optimal bounds for fully discrete approximations to finite horizon problems via dynamic programming. We adapt the error analysis in \cite{nos} for the infinite horizon case to the finite horizon case. We prove an a…
A counterexample to uniqueness of global minimizers of semilinear optimal control problems is given. The lack of uniqueness occurs for a special choice of the state-target in the cost functional. Our arguments show also that, for some…
We obtain necessary optimality conditions for higher-order infinite horizon problems of the calculus of variations via discrete quantum operators.
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…