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We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the…

计算金融 · 定量金融 2015-09-04 Robert B. Gramacy , Mike Ludkovski

A distributed stochastic optimal control solution is presented for cooperative multi-agent systems. The network of agents is partitioned into multiple factorial subsystems, each of which consists of a central agent and neighboring agents.…

系统与控制 · 电气工程与系统科学 2021-03-23 Neng Wan , Aditya Gahlawat , Naira Hovakimyan , Evangelos A. Theodorou , Petros G. Voulgaris

This work proposes a method for solving linear stochastic optimal control (SOC) problems using sum of squares and semidefinite programming. Previous work had used polynomial optimization to approximate the value function, requiring a high…

最优化与控制 · 数学 2014-09-23 Matanya B. Horowitz , Ivan Papusha , Joel W. Burdick

The study is devoted to mathematical modeling and optimal control design of longitudinal motions of a rectilinear elastic rod. The control inputs are a force, which is normal to the cross section and distributed piecewise constantly along…

最优化与控制 · 数学 2022-07-22 Georgy Kostin , Alexander Gavrikov

Dynamic low altitude networks offer significant potential for efficient and reliable data transport via unmanned aerial vehicles (UAVs) relays which usually operate with predetermined trajectories. However, it is challenging to optimize the…

系统与控制 · 电气工程与系统科学 2025-12-23 Bowen Li , Junting Chen

Real-world structural optimisation problems involve multiple loading conditions and design constraints, with responses typically depending on states of discretised governing equations. Generally, one uses gradient-based nested analysis and…

计算工程、金融与科学 · 计算机科学 2022-02-23 Stijn Koppen , Max van der Kolk , Sanne van den Boom , Matthijs Langelaar

This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…

最优化与控制 · 数学 2023-01-19 Jacob Knaup , Panagiotis Tsiotras

Formulating the intended behavior of a dynamic system can be challenging. Signal temporal logic (STL) is frequently used for this purpose due to its suitability in formalizing comprehensible, modular, and versatile spatiotemporal…

系统与控制 · 电气工程与系统科学 2025-03-04 Patrick Halder , Hannes Homburger , Lothar Kiltz , Johannes Reuter , Matthias Althoff

In this paper we propose a new finite element method for solving elliptic optimal control problems with pointwise state constraints, including the distributed controls and the Dirichlet or Neumann boundary controls. The main idea is to use…

数值分析 · 数学 2023-06-07 Wei Gong , Zhiyu Tan

A general-purpose C++ software program called $\mathbb{CGPOPS}$ is described for solving multiple-phase optimal control problems using adaptive Gaussian quadrature collocation. The software employs a Legendre-Gauss-Radau direct orthogonal…

最优化与控制 · 数学 2019-05-30 Yunus M. Agamawi , Anil V. Rao

Solving parabolic optimal control problems can be inherently challenging in the field of science and engineering, especially with constraints on the nonsmooth distributed control. Motivated by the extensive applicability of the alternating…

最优化与控制 · 数学 2026-03-03 Haiming Song , Jinda Yang , Yuran Yang , Jianhua Yuan

This paper introduces an adaptive time splitting technique for the solution of stiff evolutionary PDEs that guarantees an effective error control of the simulation, independent of the fastest physical time scale for highly unsteady…

数值分析 · 数学 2012-04-10 Stéphane Descombes , Max Duarte , Thierry Dumont , Violaine Louvet , Marc Massot

In this contribution we develop an efficient reduced order model for solving parametrized linear-quadratic optimal control problems with linear time-varying state system. The fully reduced model combines reduced basis approximations of the…

数值分析 · 数学 2024-08-29 Hendrik Kleikamp , Lukas Renelt

We propose an adaptive refinement algorithm to solve total variation regularized measure optimization problems. The method iteratively constructs dyadic partitions of the unit cube based on i) the resolution of discretized dual problems and…

最优化与控制 · 数学 2023-01-19 Axel Flinth , Frédéric de Gournay , Pierre Weiss

Aircraft failures alter dynamics, diminishing manoeuvrability. Such manoeuvring flight envelope variations, governed by the aircraft's complex nonlinear dynamics, are unpredictable by pilots and existing flight management systems. To…

系统与控制 · 电气工程与系统科学 2024-08-06 Ramin Norouzi , Amirreza Kosari , Mark H. Lowenberg

Nonconvex and structured optimization problems arise in many engineering applications that demand scalable and distributed solution methods. The study of the convergence properties of these methods is in general difficult due to the…

The article discusses the gradient discretisation method (GDM) for distributed optimal control problems governed by diffusion equation with pure Neumann boundary condition. Using the GDM framework enables to develop an analysis that…

数值分析 · 数学 2018-10-09 Jerome Droniou , Neela Nataraj , Devika Shylaja

This paper studies a distributed online convex optimization problem, where agents in an unbalanced network cooperatively minimize the sum of their time-varying local cost functions subject to a coupled inequality constraint. To solve this…

最优化与控制 · 数学 2023-09-06 Dandan Wang , Daokuan Zhu , Kin Cheong Sou , Jie Lu

This paper presents a unified optimization-based path planning approach to efficiently compute locally optimal solutions to advanced path planning problems. The approach is motivated by first showing that a lattice-based path planner can be…

最优化与控制 · 数学 2019-03-26 Kristoffer Bergman , Oskar Ljungqvist , Daniel Axehill

This paper presents a computationally efficient model predictive control formulation that uses an integral Chebyshev collocation method to enable rapid operations of autonomous agents. By posing the finite-horizon optimal control problem…

机器人学 · 计算机科学 2025-03-26 Deep Parikh , Thomas L. Ahrens , Manoranjan Majji