Related papers: Limit of the Solutions for the Finite Horizon Prob…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
This paper proposes a method to compute lower performance bounds for discrete-time infinite-horizon min-max control problems with input constraints and bounded disturbances. Such bounds can be used as a performance metric for control…
We revisit the optimal control problem of maximizing biogas production in continuous bio-processes in two directions: 1. over an infinite horizon, 2. with sub-optimal controllers independent of the time horizon. For the first point, we…
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 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…
We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of…
We consider optimal route planning when the objective function is a general nonlinear and non-monotonic function. Such an objective models user behavior more accurately, for example, when a user is risk-averse, or the utility function needs…
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We…
This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard utility maximiser principal. Building upon the so-called dynamic…
We present a hierarchical computation approach for solving finite-time optimal control problems using operator splitting methods. The first split is performed over the time index and leads to as many subproblems as the length of the…
The question if a given partial solution to a problem can be extended reasonably occurs in many algorithmic approaches for optimization problems. For instance, when enumerating minimal dominating sets of a graph $G=(V,E)$, one usually…
We consider a constrained optimization problem arising from the study of the Helmholtz equation in unbounded domains. The optimization problem provides an approximation of the solution in a bounded computational domain. In this paper we…
This paper presents a novel approach to synthesize dual controllers for unknown linear time-invariant systems with the tasks of optimizing a quadratic cost while reducing the uncertainty. To this end, a synthesis problem is defined where…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
We consider the problem of planning with participation constraints introduced in [Zhang et al., 2022]. In this problem, a principal chooses actions in a Markov decision process, resulting in separate utilities for the principal and the…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
We consider an infinite-horizon optimal control problem with an asymptotic terminal constraint. For the the weakly overtaking criterion and the overtaking criterion, necessary boundary conditions on co-state arcs are deduced, these…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
Finite element methods provide accurate and efficient methods for the numerical solution of partial differential equations by means of restricting variational problems to finite-dimensional approximating spaces. However, they do not…