Nonstationary queueing networks are notoriously difficult to analyze and control. One reason is that steady state analysis and techniques are not useful since the model parameters in practice are not constant and depend on time. In this work, we analyze two optimal control problems for nonstationary Jackson networks with abandonment where our main goal is to optimally control the number of serv...

The purpose of this paper is to present a framework for optimal stochastic power control in interference limited fading wireless channels. The framework is based on applying stochastic programming methods to optimal transmit power allocation. Numerical examples based on applying interior point algorithms to the optimal power control problem are discussed. Furthermore, an application of the stoc...

An optimal control problem is considered for a stochastic differential equation with the cost functional determined by backward Volterra integral (BSVIE, short). This kind of can cover general discounting (including exponential and non-exponential) situations recursive feature. It known that such time-inconsistent in general. Therefore, instead finding global control, we look time-consistent lo...

The paper discusses the problem of modelling intelligent behaviour using stochastic optimal control theory. The stochastic control solution requires state feed-back which requires vast computational resources both in terms of memory and computation. We argue that an efficient approach to this problem requires an integration of sensory and motor computation. We propose the path integral control ...

In this paper we consider a linear discrete-time control system affected by an additive sinusoidal disturbance with known frequencies but unknown amplitudes and phases. The problem is to damp this forced oscillation in an optimal fashion. We show that the natural solution from the point of view of optimal control is neither robust with respect to errors in the frequencies, and thus not optimal ...

This paper is a survey on some recent aspects and developments in stochastic control theory. We discuss the two main historical approaches, Bellman’s optimality principle and Pontryagin’s maximum principle, and their modern exposition with viscosity solutions and backward stochastic differential equations. Some original proofs are presented in a unifying context including degenerate singular co...

A control system is proposed for the regulation problem of the roll-motion of a manned sea-surface vehicle. Taking into account the roll-ship equations coming from the Conolly theory, a novel stochastic model has been proposed for the uncertainties driving the total mechanical torque acting on the vehicle, deriving from the wind and/or the sea-wave action. The proposed model results in a biline...

We study a class of optimal stochastic control problems arising from the control of movements. Exact solutions are first presented for linear cases for both the duringand post-movement control problem, depending on a parameter α > 0. It is found that for the Langevin type equation and for the post-movement control case, a non-degenerate solution exists only when α > 1/2. For the Langevin type e...

Abstract. We address a method of approximate calculation of optimal control policy applicable to a particular class of stochastic control problems, whose stochastic dynamics exhibit a certain convexity preserving property. Problems of this type appear in many applications and encompass important examples arising in the area of optimal stopping and in the framework of control, based on partial o...