相关论文: Discretisation of stochastic control problems for …
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
This paper addresses, for the first time in the literature, optimal control problems for dynamic systems governed by a novel class of sweeping processes with time delay. We establish well-posedness of such processes, in the sense of the…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
We propose a novel Galerkin discretization scheme for stochastic optimal control problems on an indefinite time horizon. The control problems are linear-quadratic in the controls, but possibly nonlinear in the state variables, and the…
This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…
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 study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…