相关论文: Treating the Future Equally: Solving Undiscounted …
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
We consider a constrained optimization problem arising from the study of the Helmholtz equation in unbounded domains. The optimization problem provides an approximation of the solution in a bounded computational domain. In this paper we…
This paper shows how a class of non-convex optimization problems constrained by discretized nonlinear partial differential equations may be solved to global optimality using an interior point continuation method. The solution procedure…
Two problems incorporating a set of horizontal linear potentials crossed by a sloped linear potential are analytically solved and compared with numerical results: (a) the case where boundary conditions are specified at the ends of a finite…
We develop two adaptive discretization algorithms for convex semi-infinite optimization, which terminate after finitely many iterations at approximate solutions of arbitrary precision. In particular, they terminate at a feasible point of…
We consider semilinear parabolic optimal control problems subject to Neumann boundary conditions, control constraints, and an infinite time horizon. The control constraints are pointwise in time, but they can be pointwise or integral in the…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
This paper presents and proves an equation for the time horizon of symmetric trajectories with zero boundary conditions and bounded derivatives of arbitrary order. This equation holds regardless of the number of phases comprising the…
In the paper we consider the infinite horizon control problems on the interval with free right-hand endpoint. We obtain the necessary conditions of strict optimality. The method of the proof actually follows the classic paper by Halkin, and…
A method is devised for numerically solving a class of finite-horizon optimal control problems subject to cascade linear discrete-time dynamics. It is assumed that the linear state and input inequality constraints, and the quadratic measure…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
In this paper we investigate necessary conditions of optimality for infinite-horizon optimal control problems with overtaking optimality as an optimality criterion. For the case of local Lipschitz continuity of the payoff function, we…
This paper presents an algorithm to solve the infinite horizon constrained linear quadratic regulator (CLQR) problem using operator splitting methods. First, the CLQR problem is reformulated as a (finite-time) model predictive control (MPC)…
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of…
We study so{\`u}e infinite-horizon optimization problems on spaces of periodic functions for non periodic Lagrangians. The main strategy relies on the reduction to finite horizon thanks in the introduction of an avering operator.We then…
Basis splines enable a time-continuous feasibility check with a finite number of constraints. Constraints apply to the whole trajectory for motion planning applications that require a collision-free and dynamically feasible trajectory.…
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in Bahman et al. (2019) to the model with a finite horizon and…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
We present an optimization problem in infinite dimensions which satisfies the usual second-order sufficient condition but for which perturbed problems fail to possess solutions.