Related papers: General limit value in Dynamic Programming
The target discounted-sum problem is the following: Given a rational discount factor $0<\lambda<1$ and three rational values $a,b$, and $t$, does there exist a finite or an infinite sequence $w \in \{a,b\}^*$ or $w \in \{a,b\}^\omega$, such…
Value Iteration is a widely used algorithm for solving Markov Decision Processes (MDPs). While previous studies have extensively analyzed its convergence properties, they primarily focus on convergence with respect to the infinity norm. In…
We propose finitely convergent methods for solving convex feasibility problems defined over a possibly infinite pool of constraints. Following other works in this area, we assume that the interior of the solution set is nonempty and that…
For an infinite class of finite graphs of unbounded size, we define a limit object, to be called a $\textit{wide limit}$, relative to some computationally restricted class of functions. The limit object is a first order Boolean-valued…
In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…
In ergodic stochastic problems the limit of the value function $V_\lambda$ of the associated discounted cost functional with infinite time horizon is studied, when the discounted factor $\lambda$ tends to zero. These problems have been well…
We study the asymptotic behaviour of a properly normalized time-changed multidimensional Wiener process; the time change is given by an additive functional of the Wiener process itself. At the level of generators, the time change means that…
This paper study the parameter selection of predefined-time sliding mode and try to design a general nonsingular predefined-time terminal sliding mode. 1). On parameter selection: Some existing predefined-time sliding modes are designed to…
An inverse-free dynamical system is proposed to solve the generalized absolute value equation (GAVE) with a fixed time convergence, where the time of convergence is finite and is uniformly bounded for all initial points. Moreover, an…
The Gamma-limit of higher-order singular perturbations of the Perona-Malik functional is analyzed. The energies considered combine the critically scaled logarithmic term with a k-th order regularization designed to balance bulk and…
We prove limit theorems of an entirely new type for certain long memory regularly varying stationary infinitely divisible random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart from one…
We study generic holomorphic families of dynamical systems presenting problems of small divisors with fixed arithmetic. We prove that we have convergence for all parameter values or divergence everywhere except for an exceptional set in the…
In this work, we consider a constrained convex problem with linear inequalities and provide an inexact penalty re-formulation of the problem. The novelty is in the choice of the penalty functions, which are smooth and can induce a non-zero…
This paper settles the sample complexity of single-parameter revenue maximization by showing matching upper and lower bounds, up to a poly-logarithmic factor, for all families of value distributions that have been considered in the…
We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also on the joint law of them. The value function $V$ defined in…
In this paper we study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic differential equation (SDE) with evolving intensity. Generalizing the…
Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…
In this paper, we focus on how to dynamically allocate a divisible resource fairly among n players who arrive and depart over time. The players may have general heterogeneous valuations over the resource. It is known that the exact…
In this paper we consider the problem of uniformity testing with limited memory. We observe a sequence of independent identically distributed random variables drawn from a distribution $p$ over $[n]$, which is either uniform or is…
The goal of this paper is to set a constraint programming framework to solve lot-sizing problems. More specifically, we consider a single-item lot-sizing problem with time-varying lower and upper bounds for production and inventory. The…