Related papers: Optimal drift optimizer for non-convex optimizatio…

We develop a rigorous framework for global non-convex optimization by reformulating the minimization problem as a discounted infinite-horizon optimal control problem. For non-convex, continuous, and possibly non-smooth objective functions…

This paper studies the long-time behavior of optimal solutions for a class of linear-convex optimal control problems. We focus on a partial exponential turnpike property, established without imposing controllability or stabilizability…

This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…

Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated…

We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…

Optimal control problems with symmetries often admit a non stationary turnpike property called trim turnpike, which characterizes the convergence of optimal solutions to certain symmetry induced trajectories called trim primitives. In this…

This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…

We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…

In this paper, we present a novel control scheme for feedback optimization. That is, we propose a discrete-time controller that can steer the steady state of a physical plant to the solution of a constrained optimization problem without…

We consider a stochastic transportation problem between two prescribed probability distributions (a source and a target) over processes with general drift dependence and with free end times. First, and in order to establish a dual…

We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…

We here adapt an extended version of the adaptive cubic regularisation method with dynamic inexact Hessian information for nonconvex optimisation in [3] to the stochastic optimisation setting. While exact function evaluations are still…

We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…

We address the problem of sampling from terminally constrained distributions with pre-trained flow-based generative models through an optimal control formulation. Theoretically, we characterize the value function by a…

We study an optimal allocation problem for a system of independent Brownian agents whose states evolve under a limited shared control. At each time, a unit of resource can be divided and allocated across components to increase their drifts,…

The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…

We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…

This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns…