相关论文: Uniform value for some nonexpansive optimal contro…
This paper considers the finite element approximation to parabolic optimal control problems with measure data in a nonconvex polygonal domain. Such problems usually possess low regularity in the state variable due to the presence of measure…
We investigate global bounded solutions of higher regularity to boundary value problems for a general linear nonautonomous first order 1D hyperbolic system in a strip. We establish the existence of such solutions under the assumption of…
We consider optimal control problems involving nonlinear ordinary differential equations with uncertain inputs. Using the sample average approximation, we obtain optimal control problems with ensembles of deterministic dynamical systems.…
Moment matching is an easy-to-implement and usually effective method to reduce variance of Monte Carlo simulation estimates. On the other hand, there is no guarantee that moment matching will always reduce simulation variance for general…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
This work addresses the finite-horizon robust covariance control problem for discrete-time, partially observable, linear system affected by random zero mean noise and deterministic but unknown disturbances restricted to lie in what is…
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is…
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…
A number of important modern applications in optimal control can be formulated as open loop control problems in which the underlying dynamical systems are subject to random inputs. These so-called ensemble control problems require the…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
We establish the first general regularity result for constrained optimal control problems arising naturally in mathematical physics and mathematical biology. Namely, we prove that for a large class of problems of the form ``maximise $\int…
The paper presents new sufficient conditions for the property of strong bi-metric regularity of the optimality map associated with an optimal control problem which is affine with respect to the control variable ({\em affine problem}). The…
In this paper, we study an optimal exit time problem with general running and terminal costs and a target $\mathcal{S}\subset\mathbb{R}^d$ having an inner ball property for a nonlinear control system that satisfies mild controllability…
We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless $N$-armed bandit problem. Unlike most studies that rely on constructing policies based on the relaxed single-armed Markov Decision…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
We study the convergence problem for mean field control, also known as optimal control of McKean-Vlasov dynamics. We assume that the data is smooth but not convex, and thus the limiting value function $\mathcal{U} :[0,T] \times…
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
We provide a control-theoretic perspective on optimal tensor algorithms for minimizing a convex function in a finite-dimensional Euclidean space. Given a function $\Phi: \mathbb{R}^d \rightarrow \mathbb{R}$ that is convex and twice…
Policy gradient methods usually rely on entropy regularization to prevent premature convergence. However, maximizing entropy indiscriminately pushes the policy towards a uniform distribution, often overriding the reward signal if not…
This paper investigates the necessary optimality conditions for uniformly overtaking optimal control on infinite horizon in the free end case. %with free right endpoint. In the papers of S.M.Aseev, A.V.Kryazhimskii, V.M.Veliov, K.O.Besov…