Related papers: Stability and Identification with Optimal Macropru…

The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend…

Estimating optimal dynamic policies from offline data is a fundamental problem in dynamic decision making. In the context of causal inference, the problem is known as estimating the optimal dynamic treatment regime. Even though there exists…

Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…

Policy iteration is one of the classical frameworks of reinforcement learning, which requires a known initial stabilizing control. However, finding the initial stabilizing control depends on the known system model. To relax this requirement…

Adaptive optimal control using value iteration initiated from a stabilizing control policy is theoretically analyzed in terms of stability of the system during the learning stage without ignoring the effects of approximation errors. This…

In this paper, we analyze the effect of a policy recommendation on the performance of an artificial interbank market. Financial institutions stipulate lending agreements following a public recommendation and their individual information.…

A well known result states that stability criterion for matchings in two-sided markets doesn't ensure uniqueness. This opens the door for a moral question with regard to the optimal stable matching from a social point of view. Here, a new…

We prove the strong consistency and the asymptotic normality of the maximum likelihood estimator of the parameters of a general conditionally heteroscedastic model with $\alpha$-stable innovations. Then, we relax the assumptions and only…

We propose a new concept named adaptive submodularity ratio to study the greedy policy for sequential decision making. While the greedy policy is known to perform well for a wide variety of adaptive stochastic optimization problems in…

This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying…

In this study, we adopt age of information as a measure of the staleness of information, and take initial steps towards analyzing the control performance of stochastic systems with stale information. Our goals are to cast light on a…

Variational stability, in the sense of local good behavior of optimal values and solutions in problems of optimization under shifts in parameters, is important not only for validating model robustness in practical applications but also for…

In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…

For a class of quasi-variational inequalities (QVIs) of obstacle-type the stability of its solution set and associated optimal control problems are considered. These optimal control problems are non-standard in the sense that they involve…

Model-based policy optimization is a well-established framework for designing reliable and high-performance controllers across a wide range of control applications. Recently, this approach has been extended to model predictive control…

A criterion on the asymptotic stability of fractional-order systems with incomensurate orders is proposed in this paper. Existing methods always assume order parameters be rational numbers or the ratios of any two orders be rational…

In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…

We investigate the problem of best policy identification in discounted linear Markov Decision Processes in the fixed confidence setting under a generative model. We first derive an instance-specific lower bound on the expected number of…

Performance of adaptive control policies is assessed through the regret with respect to the optimal regulator, which reflects the increase in the operating cost due to uncertainty about the dynamics parameters. However, available results in…