Related papers: Optimal Control of Volterra Equations with Impulse…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
We formulate and analyze a hybrid system model that involves Volterra integral operators with multiple integrals and two types of impulsive terms. We give a constructive proof, via an iteration method, of existence and uniqueness of…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
This article develops variational integrators for a class of underactuated mechanical systems using the theory of discrete mechanics. Further, a discrete optimal control problem is formulated for the considered class of systems and…
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 introduce discontinuous solutions to nonlinear impulsive control systems with state time delays in the dynamics and derive necessary optimality conditions in the form of a Maximum Principle for associated optimal control problems. In the…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
We present a number of cases of optimal control of Volterra and Fredholm integral equations that are solvable in the sense that the problem can be reduced to a solvable integral equation. This is conceptually analogous to the role of the…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore classical methods, like dynamic programming, cannot be used to study optimal control problems for such equations. However, we show that by using…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…
Optimal control problems with oscillations (chattering controls) and concentrations (impulsive controls) can have integral performance criteria such that concentration of the control signal occurs at a discontinuity of the state signal.…