相关论文: Optimal control of the convergence time in the Heg…

In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…

An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…

We study the infinite-horizon distributionally robust (DR) control of linear systems with quadratic costs, where disturbances have unknown, possibly time-correlated distribution within a Wasserstein-2 ambiguity set. We aim to minimize the…

In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…

Model predictive control strategies require to solve in an sequential manner, many, possibly non-convex, optimization problems. In this work, we propose an interacting stochastic agent system to solve those problems. The agents evolve in…

We consider a stochastic, continuous state and time opinion model where each agent's opinion locally interacts with other agents' opinions in the system, and there is also exogenous randomness. The interaction tends to create clusters of…

We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…

Memory effects play a crucial role in social interactions and decision-making processes. This paper proposes a novel fractional-order bounded confidence opinion dynamics model to characterize the memory effects in system states. Building…

This paper considers the fixed-time control problem of a multi-agent system composed of a class of Euler-Lagrange dynamics with parametric uncertainty and a dynamic leader under a directed communication network. A distributed fixed-time…

In this paper, we consider the problem of containment control of multi-agent systems with multiple stationary leaders, interacting over a directed network. While, containment control refers to just ensuring that the follower agents reach…

The long time behavior and detailed convergence analysis of Langevin equations has received increased attention over the last years. Difficulties arise from a lack of coercivity, usually termed hypocoercivity, of the underlying kinetic…

We study multidimensional continuous opinion dynamics, where opinions are nonnegative vectors which components sum up to one. Examples of such opinions are budgets or other allocation vectors which display a distribution of a fixed amount…

We consider cooperative multi-agent consensus optimization problems over both static and time-varying communication networks, where only local communications are allowed. The objective is to minimize the sum of agent-specific possibly…

A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…

We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that the optimization problem reduces to solving a variational…

In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…

We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for…

We present two models of continuous opinion dynamics under bounded confidence which are representable as nonnegative discrete dynamical systems, namely the Hegselmann-Krause model (Hegselmann and Krause, Journal of Artificial Societies and…

This paper investigates the social optimality of linear quadratic mean field control systems with unmodeled dynamics. The objective of agents is to optimize the social cost, which is the sum of costs of all agents. By variational analysis…

The distributed coordination problem of multi-agent systems is addressed in this paper under the assumption of intermittent communication between agents in the presence of time-varying communication delays. Specifically, we consider the…