Related papers: Optimal Stopping for Non-linear Expectations
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as a characterization of the solution. As an application, we…
Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…
In this paper, we present a novel framework for quantifying a lower bound on resilience in continuous-time (non)linear systems subject to external disturbances while ensuring satisfaction of signal temporal logic specifications. Unlike…
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the proposed algorithms and derive the…
In this technical note, we investigate an optimal output consensus problem for heterogeneous uncertain nonlinear multi-agent systems. The considered agents are described by high-order nonlinear dynamics subject to both static and dynamic…
We address the risk bounded trajectory optimization problem of stochastic nonlinear robotic systems. More precisely, we consider the motion planning problem in which the robot has stochastic nonlinear dynamics and uncertain initial…
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability…
Iterative trajectory optimization techniques for non-linear dynamical systems are among the most powerful and sample-efficient methods of model-based reinforcement learning and approximate optimal control. By leveraging time-variant local…
The present paper is mainly aimed at introducing a novel notion of stability of nonlinear time-delay systems called Rational Stability. According to the Lyapunov-type, various sufficient conditions for rational stability are reached. Under…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
Stop-loss rules are often studied in the financial literature, but the stop-loss levels are seldom constructed systematically. In many papers, and indeed in practice as well, the level of the stops is too often set arbitrarily. Guided by…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
This paper concerns optimal stopping problems driven by the running maximum of a spectrally negative L\'{e}vy process $X$. More precisely, we are interested in modifications of the Shepp-Shiryaev optimal stopping problem [Avram, Kyprianou…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
This paper addresses the problem of finite horizon constrained robust optimal control for nonlinear systems subject to norm-bounded disturbances. To this end, the underlying uncertain nonlinear system is decomposed based on a first-order…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
In this paper we study the problem of synthesizing optimal control policies for uncertain continuous-time nonlinear systems from syntactically co-safe linear temporal logic (scLTL) formulas. We formulate this problem as a sequence of…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…