Results 11 to 20 of about 522,389 (335)

Singularly Perturbed Forward-Backward Stochastic Differential Equations: Application to the Optimal Control of Bilinear Systems [PDF]

Computation, 2018
We study linear-quadratic stochastic optimal control problems with bilinear state dependence where the underlying stochastic differential equation (SDE) has multiscale features.
Omar Kebiri, Lara Neureither, Carsten Hartmann   +2 more
doaj   +4 more sources

A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints

Abstract and Applied Analysis, 2012
We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints. Applying the terminal perturbation method and Ekeland’s variation principle, a necessary
Shaolin Ji, Qingmeng Wei, Xiumin Zhang
doaj   +3 more sources

Sparse optimal stochastic control [PDF]

Automatica, 2021
In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost functional, in general, the value function is not differentiable in the domain.
Ito, Kaito, Ikeda, Takuya, Kashima, Kenji   +2 more
openaire   +2 more sources

STOCHASTIC OPTIMAL CONTROL OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM [PDF]

Journal of Engineering Science (Chişinău), 2020
In this paper, we considered the problem of optimally controlling a twodimensional dynamical system until it reaches either of two boundaries. We consider a controlled dynamical system (X(t), Y(t)) which is a generalization of the classic twodimensional ...
Lefebvre, Mario
doaj   +1 more source

A sufficient maximum principle for backward stochastic systems with mixed delays

Mathematical Biosciences and Engineering, 2023
In this paper, we study the problem of optimal control of backward stochastic differential equations with three delays (discrete delay, moving-average delay and noisy memory). We establish the sufficient optimality condition for the stochastic system. We
Heping Ma, Hui Jian , Yu Shi
doaj   +1 more source

Stochastic maximum principle for optimal control of SPDEs [PDF]

, 2012
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable)
Fuhrman, Marco, Hu, Ying, Tessitore, Gianmario   +2 more
core   +12 more sources

Optimal Transportation Problem by Stochastic Optimal Control [PDF]

SIAM Journal on Control and Optimization, 2008
We address an optimal mass transportation problem by means of optimal stochastic control. We consider a stochastic control problem which is a natural extension of the Monge-Kantorovich problem. Using a vanishing viscosity argument we provide a probabilistic proof of two fundamental results in mass transportation: the Kantorovich duality and the graph ...
Mikami, Toshio, Thieullen, Michele
openaire   +3 more sources

Nonlinear Stochastic Control and Information Theoretic Dualities: Connections, Interdependencies and Thermodynamic Interpretations

Entropy, 2015
In this paper, we present connections between recent developments on the linearly-solvable stochastic optimal control framework with early work in control theory based on the fundamental dualities between free energy and relative entropy. We extend these
Evangelos A. Theodorou
doaj   +1 more source

The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps

Abstract and Applied Analysis, 2014
We focus on the fully coupled forward-backward stochastic differential equations with jumps and investigate the associated stochastic optimal control problem (with the nonconvex control and the convex state constraint) along with stochastic maximum ...
Qingmeng Wei
doaj   +1 more source

Optimal control in an inventory management problem considering replenishment lead time based upon a non-diffusive stochastic differential equation

Journal of Advanced Mechanical Design, Systems, and Manufacturing, 2019
An inventory management problem is theoretically discussed for a factory having effects of lead times in replenishing the inventory, where it stocks materials used for its products.
Hiroaki T.-KANEKIYO, Shinjiro AGATA
doaj   +1 more source