相关论文: Relationship between stochastic maximum principle …
We provide a framework for high-order discretizations of nonlinear scalar convection-diffusion equations that satisfy a discrete maximum principle. The resulting schemes can have arbitrarily high order accuracy in time and space, and can be…
In this work, we study the stochastic optimal control problem (SOC) mainly from the probabilistic view point, i.e. via the Stochastic Maximum principle (SMP) \cite{Peng4}. We adopt the sample-wise backpropagation scheme proposed in…
We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first establish the well-posedness of the state equation, and then we…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see type. We…
In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…
Safety in stochastic control systems, which are subject to random noise with a known probability distribution, aims to compute policies that satisfy predefined operational constraints with high confidence throughout the uncertain evolution…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
Performative prediction (PP) is an algorithmic framework for optimizing machine learning (ML) models where the model's deployment affects the distribution of the data it is trained on. Compared to traditional ML with fixed data, designing…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
We introduce a stochastic principal-agent model. A principal and an agent interact in a stochastic environment, each privy to observations about the state not available to the other. The principal has the power of commitment, both to elicit…
We present non-convex maximal dissipation principle (NMDP), a time integration scheme for articulated bodies with simultaneous contacts. Our scheme resolves contact forces via the maximal dissipation principle (MDP). Prior MDP solvers…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
Sequential Convex Programming (SCP) has recently gained significant popularity as an effective method for solving optimal control problems and has been successfully applied in several different domains. However, the theoretical analysis of…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
The principle of optimality is a fundamental aspect of dynamic programming, which states that the optimal solution to a dynamic optimization problem can be found by combining the optimal solutions to its sub-problems. While this principle…
In this paper, a convex optimization-based method is proposed for numerically solving dynamic programs in continuous state and action spaces. The key idea is to approximate the output of the Bellman operator at a particular state by the…
Markov Decision Processes (MDPs) offer a fairly generic and powerful framework to discuss the notion of optimal policies for dynamic systems, in particular when the dynamics are stochastic. However, computing the optimal policy of an MDP…
It is well-known that decision-making problems from stochastic control can be formulated by means of a forward-backward stochastic differential equation (FBSDE). Recently, the authors of Ji et al. 2022 proposed an efficient deep learning…
Control theory plays a pivotal role in understanding and optimizing the behavior of complex dynamical systems across various scientific and engineering disciplines. Two key frameworks that have emerged for modeling and solving control…