相关论文: Optimum Production for a heaped stock dependent br…
This paper characterizes the solution to a finite horizon min-max optimal control problem where the system is linear and discrete-time with control and state constraints, and the cost quadratic; the disturbance is negatively costed, as in…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
When a physical system is driven away from equilibrium, the statistical distribution of its dynamical trajectories informs many of its physical properties. Characterizing the nature of the distribution of dynamical observables, such as a…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
A purely state-dependent cost function can be modified by introducing a control-dependent term rewarding submaximal control utilization. A moderation incentive is identically zero on the boundary of the admissible control region and…
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic…
A continuous optimal control problem governed by an elliptic variational inequality was considered in Boukrouche-Tarzia, Comput. Optim. Appl., 53 (2012), 375-392 where the control variable is the internal energy $g$. It was proved the…
This study proposes a method for designing stabilizing suboptimal controllers for nonlinear stochastic systems. These systems include time-invariant stochastic parameters that represent uncertainty of dynamics, posing two key difficulties…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
In this paper the necessary conditions of optimality in the form of maximum principle are derived for a very general class of variational problems. This class includes problems with any optimization criteria and constraints that can be…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
We present a method for determining optimal modes of operation for autonomously oscillating systems with uncertain parameters. In a typical application of the method, a nonlinear dynamical system is optimized with respect to an economic…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
This paper studies distributed optimal formation control with hard constraints on energy levels and termination time, in which the formation error is to be minimized jointly with the energy cost. The main contributions include a globally…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…