相关论文: A Finite Horizon Optimal Multiple Switching Proble…

We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…

We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…

This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…

In an earlier paper (https://doi.org/10.1137/21M1393315), the Switch Point Algorithm was developed for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a…

We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…

We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…

This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…

This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…

We study the following optimization problem over a dynamical system that consists of several linear subsystems: Given a finite set of $n\times n$ matrices and an $n$-dimensional vector, find a sequence of $K$ matrices, each chosen from the…

We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…

We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…

We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite…

In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…

This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…

We consider the Selective Harmonic Modulation (SHM) problem, consisting in the design of a staircase control signal with some prescribed frequency components. In this work, we propose a novel methodology to address SHM as an optimal control…

This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity…

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…

Output-Feedback Stochastic Model Predictive Control based on Stochastic Optimal Control for nonlinear systems is computationally intractable because of the need to solve a Finite Horizon Stochastic Optimal Control Problem. However, solving…

In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by switching between different states/investments. However, he is…

In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…