相关论文: Transversality Conditions for Stochastic Higher-Or…

In this manuscript, we consider a control system governed by a general ordinary differential equation on a Riemannian manifold, with its endpoints satisfying some inequalities and equalities, and its control constrained to a closed convex…

In this article we study optimal control problems for systems that are affine with respect to some of the control variables and nonlinear in relation to the others. We consider finitely many equality and inequality constraints on the…

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.…

In this paper, an abstract framework for the error analysis of discontinuous finite element method is developed for the distributed and Neumann boundary control problems governed by the stationary Stokes equation with control constraints.…

We prove higher-order Euler-Lagrange and DuBois-Reymond stationary conditions to fractional action-like variational problems. More general fractional action-like optimal control problems are also considered.

In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equation with delay in the state and with control dependent noise, in the general case of controls $u…

Recently, Yamanaka and Yamashita proposed the so-called positively homogeneous optimization problem, which includes many important problems, such as the absolute-value and the gauge optimizations. They presented a closed form of the dual…

Chance constrained optimization problems allow to model problems where constraints involving stochastic components should only be violated with a small probability. Evolutionary algorithms have been applied to this scenario and shown to…

In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…

This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality gap and the existence of dual solutions in a locally convex…

We consider a nonlinear system, affine with respect to an unbounded control $u$ which is allowed to range in a closed cone. To this system we associate a Bolza type minimum problem, with a Lagrangian having sublinear growth with respect to…

We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, a piecewise constant policy approximation, Euler-Maruyama time stepping, and a Gauss-Hermite approximation of the…

The study of fractional variational problems with derivatives in the sense of Caputo is a recent subject, the main results being Agrawal's necessary optimality conditions of Euler-Lagrange and respective transversality conditions. Using…

This paper investigates projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition. This condition admits some equations with highly nonlinear drift and diffusion coefficients. We…

The paper suggests a new --- to the best of the author's knowledge --- characterization of decisions which are optimal in the multi-objective optimization problem with respect to a definite proper preference cone, a Euclidean cone with a…

We consider fractional order optimal control problems in which the dynamic control system involves integer and fractional order derivatives and the terminal time is free. Necessary conditions for a state/control/terminal-time triplet to be…

We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…

The recent approach based on Hamiltonian systems and the implicit parametri\-za\-tion theorem, provides a general fixed domain approximation method in shape optimization problems, using optimal control theory. In previous works, we have…

We propose new continuous-time formulations for first-order stochastic optimization algorithms such as mini-batch gradient descent and variance-reduced methods. We exploit these continuous-time models, together with simple Lyapunov analysis…

Extended formulations are an important tool in polyhedral combinatorics. Many combinatorial optimization problems require an exponential number of inequalities when modeled as a linear program in the natural space of variables. However, by…