Related papers: Constructing the Optimal Solutions to the Undiscou…

We give an effective sufficient condition for a variational problem with infinite horizon on a compact Riemannian manifold M to admit a smooth optimal synthesis, i. e. a smooth dynamical system on M whose positive semi-trajectories are…

We establish necessary conditions of optimality for discrete-time infinite-horizon optimal control in presence of constraints at infinity. These necessary conditions are in form of weak and strong Pontryagin principles. We use a functional…

The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…

We study the limit computability of finding a global optimum of a continuous function. We give a short proof to show that the problem of checking whether a point is a global minimum is not limit computable. Thereby showing the same for the…

This paper deals with the unconstrained and constrained cases for continuous-time Markov decision processes under the finite-horizon expected total cost criterion. The state space is denumerable and the transition and cost rates are allowed…

This paper proposes a new algorithm for solving constrained global optimization problems where both the objective function and constraints are one-dimensional non-differentiable multiextremal Lipschitz functions. Multiextremal constraints…

We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…

We study optimal stopping of Feller-Markov processes to maximise an undiscounted functional consisting of running and terminal rewards. In a finite-time horizon setting, we extend classical results to unbounded rewards. In infinite horizon,…

We study decision timing problems on finite horizon with Poissonian information arrivals. In our model, a decision maker wishes to optimally time her action in order to maximize her expected reward. The reward depends on an unobservable…

This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…

In this paper we give a representation formula for the limit of the fnite horizon problem as the horizon becomes infinite, with a nonnegative Lagrangian and unbounded data. It is related to the limit of the discounted infinite horizon…

This document introduces a strategy to solve linear optimization problems. The strategy is based on the bounding condition each constraint produces on each one of the problem's dimension. The solution of a linear optimization problem is…

We construct structured H-Infinity optimal model matching problems with rational coefficients, in which the optimal solution is not rational, in the sense that the cost does not achieve its maximal lower bound on the set of rational…

Constrained Optimization solution algorithms are restricted to point based solutions. In practice, single or multiple objectives must be satisfied, wherein both the objective function and constraints can be non-convex resulting in multiple…

In this paper, we propose two algorithms for solving convex optimization problems with linear ascending constraints. When the objective function is separable, we propose a dual method which terminates in a finite number of iterations. In…

A general problem in optimal control consists of finding a terminal reward that makes the value function independent of the horizon. Such a terminal reward can be interpreted as a max-plus eigenvector of the associated Lax-Oleinik…

Infinite-dimensional linear conic formulations are described for nonlinear optimal control problems. The primal linear problem consists of finding occupation measures supported on optimal relaxed controlled trajectories, whereas the dual…

The study of combinatorial optimization problems with a submodular objective has attracted much attention in recent years. Such problems are important in both theory and practice because their objective functions are very general. Obtaining…

A multidimensional optimization problem is formulated in the tropical mathematics setting as to maximize a nonlinear objective function, which is defined through a multiplicative conjugate transposition operator on vectors in a…

A method is devised for numerically solving a class of finite-horizon optimal control problems subject to cascade linear discrete-time dynamics. It is assumed that the linear state and input inequality constraints, and the quadratic measure…