相关论文: The Minkowski-Bellman Equation

This paper presents an inverse optimality method to solve the Hamilton-Jacobi-Bellman equation for a class of nonlinear problems for which the cost is quadratic and the dynamics are affine in the input. The method is inverse optimal because…

We describe an algorithm to solve Bellman optimization that replaces a sum over paths determining the optimal cost-to-go by an analytic method localized in state space. Our approach follows from the established relation between stochastic…

We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on easily implementable numerical schemes that are compatible with…

We consider the optimal control problem associated with a general version of the well known shallow lake model, and we prove the existence of an optimum in the class $L_{loc}^{1}\left(0,+\infty\right)$. Any direct proof seems to be missing…

This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…

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,…

Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…

The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…

There are no computationally feasible algorithms that provide solutions to the finite horizon Risk-sensitive Constrained Markov Decision Process (Risk-CMDP) problem, even for problems with moderate horizon. With an aim to design the same,…

An optimal control problem related to the probability of transition between stable states for a thermally driven Ginzburg-Landau equation is considered. The value function for the optimal control problem with a spatial discretization is…

The Hamilton-Jacobi-Bellman equation arising from the optimal portfolio selection problem is studied by means of the maximal monotone operator method. The existence and uniqueness of a solution to the Cauchy problem for the nonlinear…

We treat infinite horizon optimal control problems by solving the associated stationary Hamilton-Jacobi-Bellman (HJB) equation numerically to compute the value function and an optimal feedback law. The dynamical systems under consideration…

We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…

We construct and parametrize solutions to the constraint equations of general relativity in a neighborhood of Minkowski spacetime with arbitrary prescribed decay properties at infinity. We thus provide a large class of initial data for the…

We extend the Boltzmann-Hamel equations to the optimal control setting, producing a set of equations for both kinematic and dynamic nonholonomic optimal control problems. In particular, we will show the dynamic optimal control problem can…

This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…

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…

This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…