Related papers: A Singular Control Model with Application to the G…

Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…

We introduce a spatial economic growth model where space is described as a network of interconnected geographic locations and we study a corresponding finite-dimensional optimal control problem on a graph with state constraints. Economic…

The paper deals with a problem of control of a system characterized by the fact that the influence of controls on the dynamics of certain functions of state variables (called observables) is relatively weak and the rates of change of these…

In this paper, we consider the problem of multi-objective optimal control of a dynamical system with additive and multiplicative noises with given second moments and arbitrary probability distributions. The objectives are given by quadratic…

Notwithstanding the usefulness of system dynamics in analyzing complex policy problems, policy design is far from straightforward and in many instances trial-and-error driven. To address this challenge, we propose to combine system dynamics…

We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…

Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…

This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…

Trajectory following is one of the complicated control problems when its dynamics are nonlinear, stochastic and include a large number of parameters. The problem has significant difficulties including a large number of trials required for…

We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…

In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…

This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…

We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…

We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing a classical model of Nerlove and Arrow. In particular, we allow the dynamics of the product…

We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…

We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…

We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function. To address this, we adopt a game-theoretic framework and…

In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…

We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…

Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…