相关论文: L$\infty$/L1 Duality Results In Optimal Control Pr…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…
We propose a duality theory for multi-marginal repulsive cost that appear in optimal transport problems arising in Density Functional Theory. The related optimization problems involve probabilities on the entire space and, as minimizing…
We revisit the optimal control problem with maximum cost with the objective to provide different equivalent reformulations suitable to numerical methods. We propose two reformulations in terms of extended Mayer problems with constraint, and…
We address the problem of minimizing the long-run expected average cost of a complex system consisting of interactive subsystems. We formulate a multiobjective optimization problem of the one-stage expected costs of the subsystems and…
In this work, we investigate optimal control of a Brinkman equation couple with sixth-order Cahn-Hilliard equation. The Cahn-Hilliard equation is endowed with a source term accounting for mass exchange and the velocity equation contains a…
A key problem in emerging complex cyber-physical networks is the design of information and control topologies, including sensor and actuator selection and communication network design. These problems can be posed as combinatorial set…
This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
We study an optimal control problem in Bolza form and we consider the value function associated to this problem. We prove two verification theorems which ensure that, if a function $W$ satisfies some suitable weak continuity assumptions and…
We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…
We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover,…
In this paper we study an optimization problem in which the control is information, more precisely, the control is a $\sigma$-algebra or a filtration. In a dynamic setting, we establish the dynamic programming principle and the law…
This paper is concerned with the null controllability for linear backward stochastic parabolic equations with dynamic boundary conditions and convection terms. Using the classical duality argument, the null controllability is obtained via…
We study the well-posedness of Hamilton-Jacobi-Bellman equations on subsets of $\mathbb{R}^d$ in a context without boundary conditions. The Hamiltonian is given as the supremum over two parts: an internal Hamiltonian depending on an…
In this note, we consider an optimal control problem associated to a differential equation driven by a H\"{o}lder continuous function g of index greater than 1/2. We split our study in two cases. If the coefficient of dg\_t does not depend…
This paper investigates the value function, $V$, of a Mayer optimal control problem with the state equation given by a differential inclusion. First, we obtain an invariance property for the proximal and Fr\'echet subdifferentials of $V$…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…