相关论文: Transversality Conditions for Stochastic Higher-Or…
This paper develops a novel approach to necessary optimality conditions for constrained variational problems defined in generally incomplete subspaces of absolutely continuous functions. Our approach involves reducing a variational problem…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
The notions of upper and lower exhausters are effective tools for the study of non smooth functions. There are many studies presenting optimality conditions for unconstrained and constrained cases. One can observe that optimality conditions…
Performance of optimization on quadratic problems sensitively depends on the low-lying part of the spectrum. For large (effectively infinite-dimensional) problems, this part of the spectrum can often be naturally represented or approximated…
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…
Necessary optimality conditions in the form of the maximum principle for control problems with infinite time horizon are considered. Both finite and infinite values of objective functional are allowed since the concept of overtaking or…
This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…
Convex optimization with equality and inequality constraints is a ubiquitous problem in several optimization and control problems in large-scale systems. Recently there has been a lot of interest in establishing accelerated convergence of…
Stochastic interpolants offer a robust framework for continuously transforming samples between arbitrary data distributions, holding significant promise for generative modeling. Despite their potential, rigorous finite-time convergence…
In this research paper, we examine an optimal control problem involving a dynamical system governed by a nonlinear Caputo fractional time-delay state equation. The primary objective of this study is to obtain the necessary conditions for…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
An Euler-type framework with equidistant step sizes is proposed for a class of time-changed stochastic differential equations.We establish the strong convergence rate of the standard Euler--Maruyama method under the global Lipschitz…
We approach higher-order variational problems of Herglotz type from an optimal control point of view. Using optimal control theory, we derive a generalized Euler-Lagrange equation, transversality conditions, a DuBois-Reymond necessary…
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…
In this paper, we study a class of stochastic and finite-sum convex optimization problems with deterministic constraints. Existing methods typically aim to find an $\epsilon$-$expectedly\ feasible\ stochastic\ optimal$ solution, in which…
This paper presents a framework to solve constrained optimization problems in an accelerated manner based on High-Order Tuners (HT). Our approach is based on reformulating the original constrained problem as the unconstrained optimization…
The study of fuzzy fractional variational problems in terms of a fractional Liouville-Caputo derivative is introduced. Necessary optimality conditions for problems of the fuzzy fractional calculus of variations with free end-points are…
In this paper we study the conditioning of optimal control problems constrained by linear parabolic equations with Neumann boundary conditions. While we concentrate on a given end-time target function the results hold also when the target…
In this paper, we propose second-order sufficient optimality conditions for a very general nonconvex constrained optimization problem, which covers many prominent mathematical programs.Unlike the existing results in the literature, our…