Related papers: Optimal Switching at Poisson Random Intervention T…
We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…
Bird migration is an adaptive behavior ultimately aiming at optimizing survival and reproductive success. We propose an optimal switching model to study bird migration, where birds' migration behaviors can be efficiently modeled as…
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and switching costs that can belong to a large class of…
We consider the Reinforcement Learning problem of controlling an unknown dynamical system to maximise the long-term average reward along a single trajectory. Most of the literature considers system interactions that occur in discrete time…
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…
This work studies how to preemptively increase the resilience of a network by means of time-varying topological actuation. To do this, we focus on linear dynamical systems that are compatible with a given network, and consider policies that…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric information across players. The framework is non-Markovian and…
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
Resetting a stochastic process is an important problem describing the evolution of physical, biological and other systems which are continually returned to their certain fixed point. We consider the motion of a subdiffusive particle with a…
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…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
Consider the following multi-phase project management problem. Each project is divided into several phases. All projects enter the next phase at the same point chosen by the decision maker based on observations up to that point. Within each…
Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past…
Suppose an online platform wants to compare a treatment and control policy, e.g., two different matching algorithms in a ridesharing system, or two different inventory management algorithms in an online retail site. Standard randomized…
In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
In optimal stopping problems, a Markov structure guarantees Markovian optimal stopping times (first exit times). Surprisingly, there is no analogous result for Markovian stopping games once randomization is required. This paper addresses…