Results 21 to 30 of about 517,257 (186)
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 +2 more
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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
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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 +2 more
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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
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Maximum Principle for Forward-Backward Doubly Stochastic Control Systems and Applications [PDF]
, 2010 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 contain the ...
Bensoussan +22 more
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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
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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
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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
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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
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Optimal distributed control of a stochastic Cahn-Hilliard equation [PDF]
, 2019 We study an optimal distributed control problem associated to a stochastic Cahn-Hilliard equation with a classical double-well potential and Wiener multiplicative noise, where the control is represented by a source-term in the definition of the chemical ...
Scarpa, Luca
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