Related papers: Constructing the Optimal Solutions to the Undiscou…
We consider problems of the calculus of variations on unbounded time scales. We prove the validity of the Euler-Lagrange equation on time scales for infinite horizon problems, and a new transversality condition.
In this paper we consider the two-armed bandit problem, which often naturally appears per se or as a subproblem in some multi-armed generalizations, and serves as a starting point for introducing additional problem features. The…
We explore novel approaches for solving nonlinear optimization problems with unrelaxable bound constraints, which must be satisfied before the objective function can be evaluated. Our method reformulates the unrelaxable bound-constrained…
Decision processes with incomplete state feedback have been traditionally modeled as Partially Observable Markov Decision Processes. In this paper, we present an alternative formulation based on probabilistic regular languages. The proposed…
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given deadline, with the objective of minimizing the…
This paper is devoted to the study of approximate solutions for a multiobjective interval-valued optimization problem based on an interval order. We establish new existence theorems of approximate solutions for such a problem under some…
Optimal control problems with a very large time horizon can be tackled with the Receding Horizon Control (RHC) method, which consists in solving a sequence of optimal control problems with small prediction horizon. The main result of this…
This paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage…
We provide new results on the existence of extremal solutions for discontinuous differential equations with a deviated argument which can be either delayed or advanced. The boundary condition is allowed to be discontinuous and to depend…
This paper analyses the interplay between dissipativity and stability properties in continuous-time infinite-horizon Optimal Control Problems (OCPs). We establish several relations between these properties, which culminate in a set of…
The paper describes a receding horizon control design framework for continuous-time stochastic nonlinear systems subject to probabilistic state constraints. The intention is to derive solutions that are implementable in real-time on…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
We present two first-order, sequential optimization algorithms to solve constrained optimization problems. We consider a black-box setting with a priori unknown, non-convex objective and constraint functions that have Lipschitz continuous…
Most of the optimal guidance problems can be formulated as nonconvex optimization problems, which can be solved indirectly by relaxation, convexification, or linearization. Although these methods are guaranteed to converge to the global…
Operation management problems (such as Production Planning and Scheduling) are represented and formulated as optimization models. The resolution of such optimization models leads to solutions which have to be operated in an organization.…
This work addresses the finite-horizon robust covariance control problem for discrete-time, partially observable, linear system affected by random zero mean noise and deterministic but unknown disturbances restricted to lie in what is…
Recent work on Bayesian optimization has shown its effectiveness in global optimization of difficult black-box objective functions. Many real-world optimization problems of interest also have constraints which are unknown a priori. In this…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
This note further addresses the global optimization problem for max-plus linear systems considered in [Automatica 119 (2020) 109104]. Firstly, the operations between infinity elemens and real numbers involved in the formulas of solving…
In this paper, we extend the definition of qx-asymptotic function, for extended real-valued function that define on an infinite dimensional topological normed space without lower semicontinuity or quasi-convexity condition. As the main…