相关论文: Optimal Control of an Interconnected SDE -Paraboli…

In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…

This paper is concerned with linear stochastic Hamiltonian (LSH) systems subject to random external forces. Their dynamics are modelled by linear stochastic differential equations, parameterised by stiffness, mass, damping and coupling…

In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…

We develop a delay-adaptive controller for a class of first-order hyperbolic partial integro-differential equations (PIDEs) with an unknown input delay. By employing a transport PDE to represent delayed actuator states, the system is…

We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…

We propose an {\em implementable} numerical scheme for the discretization of linear-quadratic optimal control problems involving SDEs in higher dimensions with {\em control constraint}. For time discretization, we employ the implicit Euler…

This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by partial differential equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…

This paper proposes an approach, Spectral Dynamics Embedding Control (SDEC), to optimal control for nonlinear stochastic systems. This method reveals an infinite-dimensional feature representation induced by the system's nonlinear…

We propose a linear-quadratic (LQ) control problem of streamflow discharge by optimizing an infinite-dimensional jump-driven stochastic differential equation (SDE). Our SDE is a superposition of Ornstein-Uhlenbeck processes (supOU process),…

The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…

A re-entrant manufacturing system producing a large number of items and involving many steps can be approximately modeled by a hyperbolic partial differential equation (PDE) according to mass conservation law with respect to a continuous…

This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…

This paper considers the backstepping state feedback and observer design for hyperbolic and parabolic PDEs, which are bidirectionally interconnected in a general coupling structure. Both PDE subsystems consist of coupled scalar PDEs with…

We consider a joint sensor and controller design problem for linear Gaussian stochastic systems in which a weighted sum of quadratic control cost and the amount of information acquired by the sensor is minimized. This problem formulation is…

We consider the optimal control problem of a general nonlinear spatio-temporal system described by Partial Differential Equations (PDEs). Theory and algorithms for control of spatio-temporal systems are of rising interest among the…

In this paper, we prove the necessary and sufficient maximum principles (NSMPs in short) for the optimal control of systems described by a quasilinear stochastic heat equation within convex control domains, which all the coefficients…

This paper investigates numerical methods for solving stochastic linear quadratic (SLQ) optimal control problems governed by stochastic partial differential equations (SPDEs). Two distinct approaches, the open-loop and closed-loop ones, are…

This paper studies the partially observed stochastic optimal control problem for systems with state dynamics governed by Partial Differential Equations (PDEs) that leads to an extremely large problem. First, an open-loop deterministic…

The present paper aims at providing a numerical strategy to deal with PDE-constrained optimization problems solved with the adjoint method. It is done through out a unified formulation of the constraint PDE and the adjoint model. The…

In this paper, we model and solve the problem of designing in an optimal way actuators for parabolic partial differential equations settled on a bounded open connected subset $\Omega$ of IR n. We optimize not only the location but also the…