相关论文: Optimal control of stochastic differential equatio…

We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…

This paper investigates the solvability and optimal control of a class of impulsive stochastic differential equations (SDEs) within a Hilbert space setting. First, we establish the existence and uniqueness of mild solutions for the proposed…

In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…

This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…

We investigate a nonstandard phase field model of Cahn-Hilliard type. The model describes two-species phase segregation and consists of a system of two highly nonlinearly coupled PDEs. It has been studied recently in the papers…

In this paper, we first investigate necessary optimality conditions for problems governed by systems describing the flow of an incompressible second grade fluid. Next, we study the asymptotic behavior of the optimal solution when the…

In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…

This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…

In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…

This paper proposes an approach, Spectral Dynamics Embedding Control (SDEC), to optimal control for nonlinear stochastic systems. This method reveals an infinite-dimensional feature representation induced by the system's nonlinear…

We consider an optimal control problem governed by a class of boundary value problem with the spectral Dirichlet fractional Laplacian. Some sufficient condition for the existence of optimal processes is stated. The proof of the main result…

This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…

The well-posedness of a class of optimal control problems is analysed, where the state equation couples a nonlinear degenerate Fokker-Planck equation with a system of Ordinary Differential Equations (ODEs). Such problems naturally arise as…

Variational approaches have been used successfully as a strategy to take advantage from real data measurements. In several applications, this approach gives a means to increase the accuracy of numerical simulations. In the particular case…

We consider the control of semilinear stochastic partial differential equations (SPDEs) via deterministic controls. In the case of multiplicative noise, existence of optimal controls and necessary conditions for optimality are derived. In…

This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…

This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on…

This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…

In this paper, we examine the fundamental performance limitations in the control of stochastic dynamical systems; more specifically, we derive generic $\mathcal{L}_p$ bounds that hold for any causal (stabilizing) controllers and any…

We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…