Related papers: General limit value in Dynamic Programming
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…
In contrast to the fixed parameter analysis (FPA), in the variable parameter analysis (VPA) the value of the target problem parameter is not fixed, it rather depends on the structure of a given problem instance and tends to have a favorable…
We give a fast algorithm for sampling uniform solutions of general constraint satisfaction problems (CSPs) in a local lemma regime. Suppose that the CSP has $n$ variables with domain size at most q, each constraint contains at most k…
In this paper, we study a stochastic optimal control problem under degenerate G-expectation. By using implied partition method, we show that the approximation result for admissible controls still hold. Based on this result, we prove that…
We consider a random process as a solution of stochastic differential equations with dependence of the coefficients on small parameter $\varepsilon$ and we suppose that the drift coefficients of these equations are unbounded on the…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
The addition of lower level integrality constraints to a bi-level linear program is known to result in significantly weaker analytical properties. Most notably, the upper level goal function in the optimistic setting lacks lower…
The paper concerns optimization problems with general equality and inequality constraints and with constraints expressed by a convex set. In order to solve these problems, the general constraints are treated by an exact penalty functions…
We study the computational complexity of exact minimisation of rational-valued discrete functions. Let $\Gamma$ be a set of rational-valued functions on a fixed finite domain; such a set is called a finite-valued constraint language. The…
A Valued Constraint Satisfaction Problem (VCSP) provides a common framework that can express a wide range of discrete optimization problems. A VCSP instance is given by a finite set of variables, a finite domain of labels, and an objective…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We consider optimal control problem with an integral cost which is a mean of a given function. As a particular case, the cost concerned is the Ces\`aro average. The limit of the value with Ces\`aro mean when the horizon tends to infinity is…
Let $X=\{X_n: n\in\mathbb{N}\}$ be a long memory linear process in which the coefficients are regularly varying and innovations are independent and identically distributed and belong to the domain of attraction of an $\alpha$-stable law…
We consider the value function originating from an expected utility maximization problem with finite fuel constraint and show its close relation to a nonlinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity.…
This paper revisits and extends the convergence and robustness properties of value and policy iteration algorithms for discrete-time linear quadratic regulator problems. In the model-based case, we extend current results concerning the…
We study continuity properties of stochastic game problems with respect to various topologies on information structures, defined as probability measures characterizing a game. We will establish continuity properties of the value function…
We develop a general framework for estimating function-valued parameters under equality or inequality constraints in infinite-dimensional statistical models. Such constrained learning problems are common across many areas of statistics and…
The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…