相关论文: Controlled diffusion processes

We consider multiscale stochastic systems that are partially observed at discrete points of the slow time scale. We introduce a particle filter that takes advantage of the multiscale structure of the system to efficiently approximate the…

Self-optimizing control is a strategy for selecting controlled variables, where the economic objective guides the selection and design of controlled variables, with the expectation that maintaining the controlled variables at constant…

This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…

This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…

This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…

A joint characterisation of the controllability and observability of a particular kind of discrete system has been developed. The key idea of the procedure can be reduced to a correct choice of the sampling sequence. This freedom, owing to…

This paper deals with systems of spherical particles immersed in a viscous fluid. Two aspects are studied, namely the controllability of such systems, with particular attention to the case of one active particle and either one or two…

In this review/tutorial article, we present recent progress on optimal control of partially observed Markov Decision Processes (POMDPs). We first present regularity and continuity conditions for POMDPs and their belief-MDP reductions, where…

The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…

We review the optimal control of systems modeling the dynamics of tuberculosis. Time dependent control functions are introduced in the mathematical models, representing strategies for the improvement of the treatment and cure of active…

An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…

How much explicit guidance is necessary for conditional diffusion? We consider the problem of conditional sampling using an unconditional diffusion model and limited explicit guidance (e.g., a noised classifier, or a conditional diffusion…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…

Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…

A central goal of thermodynamics is to identify optimal processes during which the least amount of energy is dissipated into the environment. Generally, even for simple systems, such as the parametric harmonic oscillator, optimal control…

The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…

The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…

This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By 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…