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A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman equation may have…
In this two-part study we develop a general approach to the design and analysis of exact penalty functions for various optimal control problems, including problems with terminal and state constraints, problems involving differential…
In this paper we consider a constrained parabolic optimal control problem. The cost functional is quadratic and it combines the distance of the trajectory of the system from the desired evolution profile together with the cost of a control.…
We consider Tikhonov regularization of control-constrained optimal control problems. We present new a-priori estimates for the regularization error assuming measure and source-measure conditions. In the special case of bang-bang solutions,…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…
We present an explicit solution to the discrete-time Bellman equation for minimax optimal control of positive systems under unconstrained disturbances. The primary contribution of our result relies on deducing a bound for the disturbance…
We investigate local optimality conditions of first and second order for integer optimal control problems with total variation regularization via a finite-dimensional switching point problem. We show the equivalence of local optimality for…
We make some remarks on a variant of the classical Tikhonov regularization in optimal control under PDEs which allows for a certain flexibility in dealing with non-linearities and state restrictions, in the sense that differential…
This article is a continuation of a previous work where we studied infinite horizon control problems for which the dynamic, running cost and control space may be different in two half-spaces of some euclidian space $\R^N$. In this article…
Markov decision problems are most commonly solved via dynamic programming. Another approach is Bellman residual minimization, which directly minimizes the squared Bellman residual objective function. However, compared to dynamic…
This chapter presents some numerical methods to solve problems in the fractional calculus of variations and fractional optimal control. Although there are plenty of methods available in the literature, we concentrate mainly on approximating…
We describe an algorithm to solve Bellman optimization that replaces a sum over paths determining the optimal cost-to-go by an analytic method localized in state space. Our approach follows from the established relation between stochastic…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
This paper presents a novel method to synthesize stochastic control Lyapunov functions for a class of nonlinear, stochastic control systems. In this work, the classical nonlinear Hamilton-Jacobi-Bellman partial differential equation is…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…