Related papers: Optimal control in Bombieri's and Tammi's conjectu…
In this paper, we will deal with a Linear Quadratic Optimal Control problem with unknown dynamics. As a modeling assumption, we will suppose that the knowledge that an agent has on the current system is represented by a probability…
We investigate symmetry reduction of optimal control problems for left-invariant control systems on Lie groups, with partial symmetry breaking cost functions. Our approach emphasizes the role of variational principles and considers a…
In the paper, a newly developed three-point fourth-order compact operator is utilized to construct an efficient compact finite difference scheme for the Benjamin-Bona-Mahony-Burgers' (BBMB) equation. Detailed derivation is carried out based…
This work focuses on numerical solutions of optimal control problems. A time discretization error representation is derived for the approximation of the associated value function. It concerns Symplectic Euler solutions of the Hamiltonian…
In this paper, we first prove that the mean-field stochastic linear quadratic (MFSLQ for short) control problem with random coefficients has a unique optimal control and derive a preliminary stochastic maximum principle to characterize this…
We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…
This paper studies a class of mean-field control (MFC) problems with singular controls under general dynamic state-control-law constraints. We first propose a customized relaxed control formulation to cope with the dynamic mixed constraints…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
Here and in a follow-on paper, we consider a simple control problem in which the underlying dynamics depend on a parameter $a$ that is unknown and must be learned. In this paper, we assume that $a$ is bounded, i.e., that $|a| \le…
It is strange but fruitful to think about the functions as random processes. Any function can be viewed as a martingale (in many different ways) with discrete time. But it can be useful to have continuous time too. Processes can emulate…
Sequential multi-class diagnosis, also known as multi-hypothesis testing, is a classical sequential decision problem with broad applications. However, the optimal solution remains, in general, unknown as the dynamic program suffers from the…
The paper addresses a new class of optimal control problems governed by the dissipative and discontinuous differential inclusion of the sweeping/Moreau process while using controls to determine the best shape of moving convex polyhedra in…
This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show that, under mild regularity assumptions, these equations…
Motivated by various applications, this article develops the notion of boundary control for Maxwell's equations in the frequency domain. Surface curl is shown to be the appropriate regularization in order for the optimal control problem to…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
Given any positive integers $m$ and $d$, we say the a sequence of points $(x_i)_{i\in I}$ in $\mathbb R^m$ is {\em Lipschitz-$d$-controlling} if one can select suitable values $y_i\; (i\in I)$ such that for every Lipschitz function…
Piecewise constant control approximation provides a practical framework for designing numerical schemes of continuous-time control problems. We analyze the accuracy of such approximations for extended mean field control (MFC) problems,…