Related papers: Continuous-Time Public Good Contribution under Unc…
We study the problem of computing an approximate Nash equilibrium of a game whose strategy space is continuous without access to gradients of the utility function. Such games arise, for example, when players' strategies are represented by…
We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…
We propose a stochastic MPC scheme using an optimization over the initial state for the predicted trajectory. Considering linear discrete-time systems under unbounded additive stochastic disturbances subject to chance constraints, we use…
We introduce a stochastic principal-agent model. A principal and an agent interact in a stochastic environment, each privy to observations about the state not available to the other. The principal has the power of commitment, both to elicit…
In this paper the optimal control of flocking models with random inputs is investigated from a numerical point of view. The effect of uncertainty in the interaction parameters is studied for a Cucker-Smale type model using a generalized…
This paper proposes a model predictive controller for discrete-time linear systems with additive, possibly unbounded, stochastic disturbances and subject to chance constraints. By computing a polytopic probabilistic positively invariant set…
Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…
Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution information is a challenging task. To resolve this issue, we…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
This paper studies the effects of introducing altruistic agents into atomic congestion games. Altruistic behavior is modeled by a trade-off between selfish and social objectives. In particular, we assume agents optimize a linear combination…
Frequency non-selective time-selective multiple access channels in which transmitters can freely choose their power control policy are considered. The individual objective of the transmitters is to maximize their averaged energy-efficiency.…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
This paper considers the discounted criterion of nonzero-sum decentralized stochastic games with prospect players. The state and action spaces are finite. The state transition probability is nonstationary. Each player independently controls…
To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables…
When can cooperation arise from self-interested decisions in public goods games? And how can we help agents to act cooperatively? We examine these classical questions in a pivotal participation game, a variant of public good games, where…
This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…
We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman optimality principle no longer holds. Our formulation is…