相关论文: Risk-Sensitive Control and an Abstract Collatz-Wie…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
An abstract framework guaranteeing the local continuous differentiability of the value function associated with optimal stabilization problems subject to abstract semilinear parabolic equations subject to a norm constraint on the controls…
In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…
This paper deals with the controllability for a class of non-autonomous neutral differential equations of fractional order with infinite delay in an abstract space. The semi-group theory of bounded linear operators, fractional calculus, and…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
This paper is devoted to the stochastic optimal control problem of infinite-dimensional differential systems allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases studied by…
A class of infinite horizon optimal control problems involving mixed quasi-norms of $L^p$-type cost functionals for the controls is discussed. These functionals enhance sparsity and switching properties of the optimal controls. The…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…
In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.
We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…
Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson [120] because of its ability to account for fluctuations about the mean, its connection with $H_\infty$ control, and its application to…
De Finetti's optimal reinsurance is a set of contracts, one for each risk in a portfolio, that caps the retained aggregate variance to a pre-specified level while minimizing total expected loss. The premiums are determined using the…
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio…
Infinite-dimensional control systems with outputs are considered in the Hamiltonian formulation with generalized coordinates. An explicit scheme for constructing a dynamic observer for this class of systems is proposed with arbitrary gain…
Bellman equations of ergodic type related to risk-sensitive control are considered. We treat the case that the nonlinear term is positive quadratic form on first-order partial derivatives of solution, which includes linear exponential…
In this paper, we study infinite dimensional stochastic systems having both unbounded control and observation operators. First of all, using a semigroup approach, we give another take of the well-posedness of such systems treated in [SIAM…
A fully discrete formalism is introduced to perform stability analysis of a turbulent compressible flow whom dynamics is modeled with the Reynolds-Averaged Navier-Stokes (RANS) equations. The discrete equations are linearized using finite…
This paper is devoted to a general min-max characterization of the eigenvalues in a gap of the essential spectrum of a self-adjoint unbounded operator. We prove an abstract theorem, then we apply it to the case of Dirac operators with a…
The standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functionals, EU encodes risk aversion through an increasing convex…
Linear time-invariant control systems can be considered as finitely generated modules over the commutative principal ideal ring $\mathbb{R}[\frac{d}{dt}]$ of linear differential operators with respect to the time derivative. The Kalman…