Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288491 
Year of Publication: 
2020
Citation: 
[Journal:] Computational Optimization and Applications [ISSN:] 1573-2894 [Volume:] 76 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2020 [Pages:] 499-533
Publisher: 
Springer US, New York, NY
Abstract: 
The characterization and numerical solution of two non-smooth optimal control problems governed by a Fokker–Planck (FP) equation are investigated in the framework of the Pontryagin maximum principle (PMP). The two FP control problems are related to the problem of determining open- and closed-loop controls for a stochastic process whose probability density function is modelled by the FP equation. In both cases, existence and PMP characterisation of optimal controls are proved, and PMP-based numerical optimization schemes are implemented that solve the PMP optimality conditions to determine the controls sought. Results of experiments are presented that successfully validate the proposed computational framework and allow to compare the two control strategies.
Subjects: 
Fokker–Planck equation
Pontryagin maximum principle
Non-smooth optimal control problems
Stochastic processes
JEL: 
Q84
J20
E20
M05
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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