Related papers: Time management in a Poisson fishing model
In this paper, we consider a self-triggered formulation of model predictive control. In this variant, the controller decides at the current sampling instant itself when the next sample should be taken and the optimization problem be solved…
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…
We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…
We study a class of optimal allocation problems, including the well-known Bomber Problem, with the following common probabilistic structure. An aircraft equipped with an amount~$x$ of ammunition is intercepted by enemy airplanes arriving…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
Optimal stopping problems give rise to random distributions describing how many applicants the decision-maker will sample or interview before choosing one, a quantity sometimes referred to as the search time or process duration. This…
We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=\operatorname {ess}\sup_{\tau_1,...,\tau_d\geq S}E[\psi(\tau_1,...,\tau_d)|\mathcal{F}_S]$. The key point is the construction of a new reward…
Maximizing long-term rewards is the primary goal in sequential decision-making problems. The majority of existing methods assume that side information is freely available, enabling the learning agent to observe all features' states before…
This paper presents a time-invariant network flow model capturing two-person ride-pooling that can be integrated within design and planning frameworks for Mobility-on-Demand systems. In these type of models, the arrival process of travel…
Sea fishing is a highly mobile activity, favoured by the vastness of the oceans, the absence of physical boundaries and the abstraction of legislative boundaries. Understanding and anticipating this mobility is a major challenge for…
This paper addresses the challenges of optimally placing a finite number of sensors to detect Poisson-distributed targets in a bounded domain. We seek to rigorously account for uncertainty in the target arrival model throughout the problem.…
A model of Poissonian observation having a jump (change-point) in the intensity function is considered. Two cases are studied. The first one corresponds to the situation when the jump size converges to a non-zero limit, while in the second…
Poisson restart assumes that a stochastic process is interrupted and starts again at random time moments. A number of studies have demonstrated that this strategy may minimize the expected completion time in some classes of random search…
The choice of the location of controllers and observations is of great importance for designing control systems and improving the estimations in various practical problems. For time-varying systems in Hilbert spaces, the existence and…
Reliable angler activity data inform fisheries management. Traditionally, such data are gathered through surveys, but an innovative cost-effective approach involves utilizing online platforms and smartphone applications. These…
We consider a class of pursuit-evasion differential games in which the evader has continuous access to the pursuer's location, but not vice-versa. There is a remote sensor (e.g., a radar station) that can sense the evader's location upon a…
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…
Optimization problems in engineering and applied mathematics are typically solved in an iterative fashion, by systematically adjusting the variables of interest until an adequate solution is found. The iterative algorithms that govern these…