Journal: SIAM Journal on Control and Optimization

Abbreviation

SIAM J. Control Optim.

Publisher

SIAM

Journal Volumes

ISSN

0363-0129
1095-7138

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Publications 1 - 10 of 26
  • Dynamic Programming in Probability Spaces via Optimal Transport
    Item type: Journal Article
    Terpin, Antonio; Lanzetti, Nicolas; Dörfler, Florian (2024)
    SIAM Journal on Control and Optimization
    We study discrete-time finite-horizon optimal control problems in probability spaces, whereby the state of the system is a probability measure. We show that, in many instances, the solution of dynamic programming in probability spaces results from two ingredients: (i) the solution of dynamic programming in the “ground space” (i.e., the space on which the probability measures live) and (ii) the solution of an optimal transport problem. From a multi-agent control perspective, a separation principle holds: “low-level control of the agents of the fleet” (how does one reach the destination?) and “fleet-level control” (who goes where?) are decoupled.
  • Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
    Item type: Journal Article
    Talbi, Mehdi; Touzi, Nizar; Zhang, Jianfeng (2023)
    SIAM Journal on Control and Optimization
    We study the optimal stopping problem of McKean–Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is that the stopping time also impacts the dynamics of the stopped process through the dependence of the coefficients on the law. The mean field stopping problem is introduced in weak formulation in terms of the joint marginal law of the stopped underlying process and the survival process. This specification satisfies a dynamic programming principle. The corresponding dynamic programming equation is an obstacle problem on the Wasserstein space and is obtained by means of a general Itô formula for flows of marginal laws of càdlàg semimartingales. Our verification result characterizes the nature of optimal stopping policies, highlighting the crucial need to randomize stopping. The effectiveness of our dynamic programming equation is illustrated by various examples including the mean variance optimal stopping problem.
  • Separated design of encoder and controller for networked linear quadratic optimal control
    Item type: Journal Article
    Rabi, Maben; Ramesh, Chithrupa; Johansson, Karl H. (2016)
    SIAM Journal on Control and Optimization
  • A Maximum Principle for Optimal Control of Stochastic Evolution Equations
    Item type: Journal Article
    Du, Kai; Meng, Qingxin (2013)
    SIAM Journal on Control and Optimization
  • Dynamic Phasor Analysis of Pulse-Modulated Systems
    Item type: Journal Article
    Almér, Stefan; Jönsson, Ulf T. (2012)
    SIAM Journal on Control and Optimization
  • Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
    Item type: Journal Article
    Burzoni, Matteo; Ignazio, Vincenzo; Reppen, A. Max; et al. (2020)
    SIAM Journal on Control and Optimization
    We study a class of nonlinear integrodifferential equations on a subspace of all probability measures on the real line related to the optimal control of McKean-Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting to a Hilbert space and prove a comparison theorem for these solutions. We also show that the value function is the unique viscosity solution.
  • Superhedging and Dynamic Risk Measures under Volatility Uncertainty
    Item type: Journal Article
    Nutz, Marcel; Soner, Mete (2012)
    SIAM Journal on Control and Optimization
  • Optimal Stochastic Control and Carbon Price Formation
    Item type: Journal Article
    Carmona, René; Fehr, Max; Hinz, Juri (2009)
    SIAM Journal on Control and Optimization
  • On Tangent Cones to Length Minimizers in Carnot--Carathéodory Spaces
    Item type: Journal Article
    Monti, Roberto; Pigati, Alessandro; Vittone, Davide (2018)
    SIAM Journal on Control and Optimization
  • Regularized Identification with Internal Positivity Side-Information
    Item type: Journal Article
    Khosravi, Mohammad; Smith, Roy (2025)
    SIAM Journal on Control and Optimization
    In this paper, we present an impulse response identification scheme that incorporates the internal positivity side-information of the system. The realization theory of positive systems establishes specific criteria for the existence of a positive realization for a given transfer function. These transfer function criteria are translated to a set of suitable conditions on the shape and structure of the impulse responses of positive systems. Utilizing these conditions, the impulse response estimation problem is formulated as a constrained optimization in a reproducing kernel Hilbert space equipped with a stable kernel, and suitable constraints are imposed to encode the internal positivity side-information. The optimization problem is infinite-dimensional with an infinite number of constraints. An equivalent finite-dimensional convex optimization in the form of a convex quadratic program is derived. The resulting equivalent reformulation makes the proposed approach suitable for numerical simulation and practical implementation. A Monte Carlo numerical experiment evaluates the impact of incorporating the internal positivity side-information in the proposed identification scheme. The effectiveness of the proposed method is demonstrated using data from a heating system experiment.
Publications 1 - 10 of 26