Related papers: On approximative solutions of multistopping proble…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
Homotopy methods are attractive due to their capability of solving difficult optimisation and optimal control problems. The underlying idea is to construct a homotopy, which may be considered as a continuous (zero) curve between the…
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…
In this note, we consider infinite horizon optimal control problems with deterministic systems. Since exact solutions to these problems are often intractable, we propose a parallel model predictive control (MPC) method that provides an…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does…
Task and Motion Planning has made great progress in solving hard sequential manipulation problems. However, a gap between such planning formulations and control methods for reactive execution remains. In this paper we propose a model…
In the classical optimal stopping problem, a player is given a sequence of random variables $X_1\ldots X_n$ with known distributions. After observing the realization of $X_i$, the player can either accept the observed reward from $X_i$ and…
A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
Various classes of stable finite difference schemes can be constructed to obtain a numerical solution. It is important to select among all stable schemes such a scheme that is optimal in terms of certain additional criteria. In this study,…
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…
Application of nonlinear model predictive control (NMPC) to problems with hybrid dynamical systems, disjoint constraints, or discrete controls often results in mixed-integer formulations with both continuous and discrete decision variables.…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
Consider a finite set of sources, each producing i.i.d. observations that follow a unique probability distribution on a finite alphabet. We study the problem of matching a finite set of observed sequences to the set of sources under the…
We consider nonlinear model predictive control (MPC) with multiple competing cost functions. In each step of the scheme, a multiobjective optimal control problem with a nonlinear system and terminal conditions is solved. We propose an…
In this study, we propose an algorithmic framework for solving a class of optimal control problems. This class is associated with the minimum-time interception of moving target problems, where a plant with a given state equation must…
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…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…