Results 31 to 40 of about 1,450,399 (320)
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
core +12 more sources
Maximum principle for discrete-time stochastic optimal control problem and stochastic game
Mathematical Control and Related Fields, 2021 This paper is first concerned with one kind of discrete-time stochastic optimal control problem with convex control domains, for which necessary condition in the form of Pontryagin's maximum principle and sufficient condition of optimality are derived ...
Zhen Wu, Feng Zhang
semanticscholar +1 more source
Optimal control for controllable stochastic linear systems [PDF]
ESAIM: Control, Optimisation and Calculus of Variations, 2020 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 stochastic linear systems is studied.
Xiuchun Bi, Jingrui Sun, Jie Xiong
openaire +3 more sources
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
Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge
SIAM Review, 2021 In 1931--1932, Erwin Schr\"odinger studied a hot gas Gedankenexperiment (an instance of large deviations of the empirical distribution). Schr\"odinger's problem represents an early example of a fundamental inference method, the so-called maximum entropy ...
Yongxin Chen, T. Georgiou, M. Pavon
semanticscholar +1 more source
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
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
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
core +2 more sources
Shock and Vibration, 2018 A probability-weighted optimal control strategy for nonlinear stochastic vibrating systems with random time delay is proposed. First, by modeling the random delay as a finite state Markov process, the optimal control problem is converted into the one of ...
R. C. Hu +4 more
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Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
Journal of Applied Mathematics, 2012 We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Itô’s ...
Li Chen, Zhen Wu, Zhiyong Yu
doaj +1 more source