相关论文: Approximation of Optimal Control Surfaces for the …

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…

A dynamic model of the product lifecycle of (nearly) homogeneous durables in polypoly markets is established. It describes the concurrent evolution of the unit sales and price of durable goods. The theory is based on the idea that the sales…

Stochastic optimal control, which has the goal of driving the behavior of noisy systems, is broadly applicable in science, engineering and artificial intelligence. Our work introduces Stochastic Optimal Control Matching (SOCM), a novel…

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

We consider a controlled reaction-diffusion equation, motivated by a pest eradication problem. Our goal is to derive a simpler model, describing the controlled evolution of a contaminated set. In this direction, the first part of the paper…

We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…

This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…

We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…

In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…

Stochastic differential equations characterized by uncertainty are effective in modelling virus dynamics and provide an alternative to traditional deterministic models. Epidemic models are inevitably subjected to the randomness within the…

This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…

This work develops effective distributed strategies for the solution of constrained multi-agent stochastic optimization problems with coupled parameters across the agents. In this formulation, each agent is influenced by only a subset of…

In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…

This study explores the integration of a diffusion control parameter into the chaotic dynamics of a modified bouncing ball model. By extending beyond simple elastic collisions, the model introduces elements that affect the diffusive…

This work presents a comprehensive framework for enhanced diffusion modeling in fluid-structure interactions by combining the Immersed Boundary Method (IBM) with stochastic trajectories and high-order spectral boundary conditions. Using…

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…

In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…

This work focuses on optimal controls of a class of stochastic SIS epidemic models under regime switching. By assuming that a decision maker can either influence the infectivity period or isolate infected individuals, our aim is to minimize…

Stochastic models of diffusion with excluded-volume effects are used to model many biological and physical systems at a discrete level. The average properties of the population may be described by a continuum model based on partial…

In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…