A unified optimal control framework: time-optimal control and stochastic optimal control
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866915562739728384 |
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| author | Yang, Shuzhen |
| author_facet | Yang, Shuzhen |
| contents | In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models, our approach incorporates a generalized stochastic control structure subject to minimum-time constraints. In this setting, the minimum-time condition is defined as the earliest achievable moment-in expectation-for reaching a target state, making the terminal time an endogenous and control-dependent variable. The main contributions of this work are twofold: first, we derive an extended stochastic maximum principle for the proposed model; second, we establish a bang-bang type optimal control for the linear time-optimal control problem. This unified stochastic optimal control framework facilitates the design of optimal strategies across diverse fields-such as finance, autonomous systems, and supply chain management-by enabling simultaneous minimization of operational costs and achievement of statistically-defined targets at the earliest feasible time. As an application, we solve a financial portfolio optimization problem within the proposed framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_07765 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A unified optimal control framework: time-optimal control and stochastic optimal control Yang, Shuzhen Optimization and Control In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models, our approach incorporates a generalized stochastic control structure subject to minimum-time constraints. In this setting, the minimum-time condition is defined as the earliest achievable moment-in expectation-for reaching a target state, making the terminal time an endogenous and control-dependent variable. The main contributions of this work are twofold: first, we derive an extended stochastic maximum principle for the proposed model; second, we establish a bang-bang type optimal control for the linear time-optimal control problem. This unified stochastic optimal control framework facilitates the design of optimal strategies across diverse fields-such as finance, autonomous systems, and supply chain management-by enabling simultaneous minimization of operational costs and achievement of statistically-defined targets at the earliest feasible time. As an application, we solve a financial portfolio optimization problem within the proposed framework. |
| title | A unified optimal control framework: time-optimal control and stochastic optimal control |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2510.07765 |