Related papers: Discretisation of stochastic control problems for …

In the paper adapting Krein Rutman theory we show the existence of solutions to the long run risk sensitive control problem for controlled discrete time Markov processes over locally compact separable metric spaces.

In this survey we present the near-optimal stochastic control problem according to some recent tools in the literature. In particular, we focus on the approach of a discretization of the noise values instead of the canonical…

We first show that the discounted cost, cost up to an exit time, and ergodic cost involving controlled non-degenerate diffusions are continuous on the space of stationary control policies when the policies are given a topology introduced by…

This paper addresses a new class of optimal control problems for perturbed sweeping processes with measurable controls in additive perturbations of the dynamics and smooth controls in polyhedral moving sets. We develop a constructive…

We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…

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…

This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…

The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…

Consider the following multi-phase project management problem. Each project is divided into several phases. All projects enter the next phase at the same point chosen by the decision maker based on observations up to that point. Within each…

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…

We consider a control constrained parabolic optimal control problem and use variational discretization for its time semi-discretization. The state equation is treated with a Petrov-Galerkin scheme using a piecewise constant Ansatz for the…

Stochastic control problems with delay are challenging due to the path-dependent feature of the system and thus its intrinsic high dimensions. In this paper, we propose and systematically study deep neural networks-based algorithms to solve…

Mirror descent is a well established tool for solving convex optimization problems with convex constraints. This article introduces continuous-time mirror descent dynamics for approximating optimal Markov controls for stochastic control…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main features are that they measure risk of processes that are functions of the history of a base…

This paper is concerned with the exact controllability of discrete-time stochastic system which is one of the basic problems of modern control theory. Though the exact controllability of continuous-time system governed by Ito stochastic…

The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…

A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. From some abstract representations of…

We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…

We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…