Related papers: On finite-difference approximations for normalized…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
We introduce the optimality question to the relaxation in multiple control problems described by Sobolev type nonlinear fractional differential equations with nonlocal control conditions in Banach spaces. Moreover, we consider the…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
This note summarizes the optimization formulations used in the study of Markov decision processes. We consider both the discounted and undiscounted processes under the standard and the entropy-regularized settings. For each setting, we…
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…
We consider some boundary value tracking optimal control problem constrained by a Neumann boundary value problem for some elliptic partial differential equation where the control acts as right-hand side. This optimal control problem can be…
An adaptive controller is proposed and analyzed for the class of infinite-horizon optimal control problems in positive linear systems presented in (Ohlin et al., 2024b). This controller is derived from the solution of a "data-driven…
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated…
We discuss the optimal Markovian coupling before an exponential time of the Kolmogorov diffusion, and a class of related stochastic control problems in which the aim is to hit the origin before an exponential time. We provide a scaling…
We study model predictive control for singular differential-algebraic equations with higher index. This is a novelty when compared to the literature where only regular differential-algebraic equations with additional assumptions on the…
Depending on the frequency range of interest, finite element-based modeling of acoustic problems leads to dynamical systems with very high dimensional state spaces. As these models can mostly be described with second order linear dynamical…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
This paper is concerned with the designing, analyzing and implementing linear and nonlinear discretization scheme for the distributed optimal control problem (OCP) with the Cahn-Hilliard (CH) equation as constrained. We propose three…
A special class of optimal control problems with complementarity constraints on the control functions is studied. It is shown that such problems possess optimal solutions whenever the underlying control space is a first-order Sobolev space.…
In the paper average reward per unit time and average risk sensitive reward functionals are considered for controlled nonhomogeneous Markov processes. Existence of solutions to suitable Bellman equations is shown. Continuity of the value…
Inverse optimal control, also known as inverse reinforcement learning, is the problem of recovering an unknown reward function in a Markov decision process from expert demonstrations of the optimal policy. We introduce a probabilistic…