相关论文: Exploiting characteristics in stationary action pr…

In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…

This paper is concerned with the application of the theory of quasivelocities for optimal control for underactuated mechanical systems. Using this theory, we convert the original problem in a variational second-order lagrangian system…

We study optimal transport for stationary stochastic processes taking values in finite spaces. In order to reflect the stationarity of the underlying processes, we restrict attention to stationary couplings, also known as joinings. The…

We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…

We analyze an optimal control problem governed by a rate-independent system in an abstract infinite-dimensional setting. The rate-independent system is characterized by a nonconvex stored energy functional, which depends on time via a…

We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic…

In this paper we consider time-optimal control problems for systems with backlash. Such systems are described by second order differential equations coupled with restrictions modeling the inelastic shocks. A main feature of such systems is…

Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…

This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…

We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…

Modern optimal control theory involves adjoining the already known equations of motion of a dynamic system to the objective function using dynamic costates; this is done in order to constrain the optimal control solutions to satisfy the…

In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…

Variational approaches have been used successfully as a strategy to take advantage from real data measurements. In several applications, this approach gives a means to increase the accuracy of numerical simulations. In the particular case…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

This paper presents, using dynamical system theory, a framework for investigating the turnpike property in nonlinear optimal control. First, it is shown that a turnpike-like property appears in general dynamical systems with hyperbolic…

In this paper, we present a framework for solving continuous optimal control problems when the true system dynamics are approximated through an imperfect model. We derive a control strategy by applying Pontryagin's Minimum Principle to the…

The basic optimal transportation problem consists in finding the most effective way of moving masses from one location to another, while minimizing the transportation cost. Such concept has been found to be useful to understand various…

Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…

We study the full Navier--Stokes--Fourier system governing the motion of a general viscous, heat-conducting, and compressible fluid subject to stochastic perturbation. The system is supplemented with non-homogeneous Neumann boundary…

A general method to describe stochastic dynamics of Markov processes is suggested. The method aims to solve three related problems. The determination of an optimal coordinate for the description of stochastic dynamics. The reconstruction of…