Related papers: Optimal Stopping for Non-linear Expectations
This paper studies the problem of stabilization of a nonlinear system with time-varying delays in both sensing and actuation using event-triggered control. Our proposed strategy seeks to opportunistically minimize the number of control…
The standard theory of optimal stopping is based on the idealised assumption that the underlying process is essentially known. In this paper, we drop this restriction and study data-driven optimal stopping for a general diffusion process,…
Real-time inference is a challenge of real-world reinforcement learning due to temporal differences in time-varying environments: the system collects data from the past, updates the decision model in the present, and deploys it in the…
Candidates arrive sequentially for an interview process which results in them being ranked relative to their predecessors. Based on the ranks available at each time, one must develop a decision mechanism that selects or dismisses the…
When building linear or nonlinear models one is faced with the problem of selecting the best set of variable with which to predict the future dynamics. In nonlinear time series analysis the problem is to select the correct time delays in…
Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…
We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem. Along with its dual, this LP problem allows one to…
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…
We consider the optimal stopping problem with non-linear $f$-expectation (induced by a BSDE) without making any regularity assumptions on the reward process $\xi$. and with general filtration. We show that the value family can be aggregated…
This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different…
We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expectation. Exploiting an approximation by switching systems,…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
Estimation of solution norms and stability for time-dependent nonlinear systems is ubiquitous in numerous applied and control problems. Yet, practically valuable results are rare in this area. This paper develops a novel approach, which…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the value function is the pointwise infimum of those functions…
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). We first provide general existence, uniqueness and…
Estimation of solution norms and stability for time-dependent nonlinear systems is ubiquitous in numerous engineering, natural science and control problems. Yet, practically valuable results are rare in this area. This paper develops a…
Here an original idea is suggested to prove the existence of optimal control for some types of non- linear problems. The obtained results can be considered as individual existence theorems (in some sense).