Related papers: Lipschitzian Estimates in Discrete-Time Constraine…
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 the problem of optimally allocating a limited number of resources across time to maximize revenue under stochastic demands. This formulation is relevant in various areas of control, such as supply chain, ticket revenue…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
The problem of domain aiming control is formulated for controlled stochastic nonlinear systems. This issue involves regularity of the solution to the resulting closed-loop stochastic system. To begin with, an extended existence and…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
The directional subdifferential of the value function gives an estimate on how much the optimal value changes under a perturbation in a certain direction. In this paper we derive upper estimates for the directional limiting and singular…
We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision variable itself. Such problems abound in the machine…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
With the increasing interest in applying the methodology of difference-of-convex (dc) optimization to diverse problems in engineering and statistics, this paper establishes the dc property of many well-known functions not previously known…
This article solves an optimal control problem arising in attitude control of a spacecraft under state and control constraints. We first derive the discrete-time attitude dynamics by employing discrete mechanics. The orientation transfer,…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
The paper is devoted to introducing an approach to compute the approximate minimum time function of control problems which is based on reachable set approximation and uses arithmetic operations for convex compact sets. In particular, in…
To investigate solutions of (near-)optimal control problems, we extend and exploit a notion of homogeneity recently proposed in the literature for discrete-time systems. Assuming the plant dynamics is homogeneous, we first derive a scaling…
The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
In this paper we study an optimization problem in which the control is information, more precisely, the control is a $\sigma$-algebra or a filtration. In a dynamic setting, we establish the dynamic programming principle and the law…
Differential stability of convex discrete optimal control problems in Banach spaces is studied in this paper. By using some recent results of An and Yen [Appl. Anal. 94, 108--128 (2015)] on differential stability of parametric convex…