Related papers: Treating the Future Equally: Solving Undiscounted …
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly…
In this paper we briefly define distance vector routing algorithms, their advantages and possible drawbacks. On these possible drawbacks, currently widely used methods split horizon and poisoned reverse are defined and compared. The count…
In this paper we deal with infinite horizon optimal control problems. Basing on weak variations in an extremal problem in weighted function spaces we prove necessary conditions in form of the adjoint equation and a variational inequality.…
I present a novel mathematical technique for dealing with the infinities arising from divergent sums and integrals. It assigns them fine-grained infinite values from the set of hyperreal numbers in a manner that refines the standard…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
This paper addresses the question whether there are numerical schemes for constant-coefficient advection problems that can yield convergent solutions for an infinite time horizon. The motivation is that such methods may serve as building…
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming…
In this paper, we consider undiscouted infinite-horizon optimal control for deterministic systems with an uncountable state and input space. We specifically address the case when the classic value iteration does not converge. For such…
Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards and suppose we are given a parametrised family of such problems. We provide a general theory of parameter…
We examine the problem of two-point boundary optimal control of nonlinear systems over finite-horizon time periods with unknown model dynamics by employing reinforcement learning. We use techniques from singular perturbation theory to…
New form of sufficient optimality condition is obtained in comparison with the Mangasarian sufficiency theorem. Both finite and infinite values of objective functional are allowed since concepts of overtaking and weakly overtaking…
In this paper we provide optimal bounds for fully discrete approximations to finite horizon problems via dynamic programming. We adapt the error analysis in \cite{nos} for the infinite horizon case to the finite horizon case. We prove an a…
We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
The paper addresses an existence problem for infinite horizon optimal control when the system under control is exponentially stabilizable or stable. Classes of nonlinear control systems for which infinite horizon optimal controls exist are…
In this paper, we consider how to construct the optimal solutions for a general discrete time infinite horizon optimal control problem. We establish necessary and sufficient conditions for optimality in the sense of a modified optimality…