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Register a new userWeak Pontryagins Maximum Principle for Optimal Control Problems Involving a General Analytic Kernel
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We prove a duality relation and an integration by parts formula for fractional operators with a general analytical kernel. Based on these basic results, we are able to prove a new Gronwalls inequality and continuity and differentiability of solutions of control differential equations. This allow us to obtain a weak version of Pontryagins maximum principle. Moreover, our approach also allow us to consider mixed problems with both integer and fractional order operators and derive necessary optimality conditions for isoperimetric variational problems and other problems of the calculus of variations.
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Quantum metrology comprises a set of techniques and protocols that utilize quantum features for parameter estimation which can in principle outperform any procedure based on classical physics. We formulate the quantum metrology in terms of an optimal control problem and apply Pontryagins Maximum Principle to determine the optimal protocol that maximizes the quantum Fisher information for a given evolution time. As the quantum Fisher information involves a derivative with respect to the parameter which one wants to estimate, we devise an augmented dynamical system that explicitly includes gradients of the quantum Fisher information. The necessary conditions derived from Pontryagins Maximum Principle are used to quantify the quality of the numerical solution. The proposed formalism is generalized to problems with control constraints, and can also be used to maximize the classical Fisher information for a chosen measurement.
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the adjoint equation. The existence and uniqueness of VNBSFE is established. The Pontryagin maximum principle is constructed for controlled NSFDE with Lagrange type cost functional.
In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the extended Hamiltonian system which is essentially an FBSDE with a maximum condition, we reformulate the original control problem as a new one. Three algorithms are proposed to solve the new control problem. Numerical results for different examples demonstrate the effectiveness of our proposed algorithms, especially in high dimensional cases. And an important application of this method is to calculate the sub-linear expectations, which correspond to a kind of fully nonlinear PDEs.
In this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter into all the coefficients. In our model, the observation equation is not only driven by a Brownian motion but also a Poisson random measure, which also have correlated noises with the state equation. For preparation, we first derive the existence and uniqueness of the solutions to the fully coupled forward-backward stochastic system with random jumps in $L^2$-space and the decoupled forward-backward stochastic system with random jumps in $L^beta(beta>2)$-space, respectively, then we obtain the $L^beta(betageq2)$-estimation of solutions to the fully coupled forward-backward stochastic system, and the non-linear filtering equation of partially observed stochastic system with random jumps. Then we derive the partially observed global maximum principle with random jumps with a new hierarchical method. To show its applications, a partially observed linear quadratic progressive optimal control problem with random jumps is investigated, by the maximum principle and stochastic filtering. State estimate feedback representation of the optimal control is given in a more explicit form by introducing some ordinary differential equations.
In this effort, a novel operator theoretic framework is developed for data-driven solution of optimal control problems. The developed methods focus on the use of trajectories (i.e., time-series) as the fundamental unit of data for the resolution of optimal control problems in dynamical systems. Trajectory information in the dynamical systems is embedded in a reproducing kernel Hilbert space (RKHS) through what are called occupation kernels. The occupation kernels are tied to the dynamics of the system through the densely defined Liouville operator. The pairing of Liouville operators and occupation kernels allows for lifting of nonlinear finite-dimensional optimal control problems into the space of infinite-dimensional linear programs over RKHSs.
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