Related papers: Stability and Identification with Optimal Macropru…
This paper studies identification and inference of the welfare gain that results from switching from one policy (such as the status quo policy) to another policy. The welfare gain is not point identified in general when data are obtained…
This paper deals with the problem of formulating an adaptive Model Predictive Control strategy for constrained uncertain systems. We consider a linear system, in presence of bounded time varying additive uncertainty. The uncertainty is…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
Adaptive optimal control using value iteration (VI) initiated from a stabilizing policy is theoretically analyzed in various aspects including the continuity of the result, the stability of the system operated using any single/constant…
Dynamic treatment regimes are of growing interest across the clinical sciences as these regimes provide one way to operationalize and thus inform sequential personalized clinical decision making. A dynamic treatment regime is a sequence of…
We provide two methodological insights on \emph{ex ante} policy evaluation for macro models of economic development. First, we show that the problems of parameter instability and lack of behavioral constancy can be overcome by considering…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small…
The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading…
We study how a central bank should dynamically set short-term nominal interest rates to stabilize inflation and unemployment when macroeconomic relationships are uncertain and time-varying. We model monetary policy as a sequential…
We study worst-case guarantees on the expected return of fixed-dataset policy optimization algorithms. Our core contribution is a unified conceptual and mathematical framework for the study of algorithms in this regime. This analysis…
Adaptive optimal control of nonlinear dynamic systems with deterministic and known dynamics under a known undiscounted infinite-horizon cost function is investigated. Policy iteration scheme initiated using a stabilizing initial control is…
We consider the adaptive control problem for discrete-time, nonlinear stochastic systems with linearly parameterised uncertainty. Assuming access to a parameterised family of controllers that can stabilise the system in a bounded set within…
Batch policy optimization considers leveraging existing data for policy construction before interacting with an environment. Although interest in this problem has grown significantly in recent years, its theoretical foundations remain…
In this review/tutorial article, we present recent progress on optimal control of partially observed Markov Decision Processes (POMDPs). We first present regularity and continuity conditions for POMDPs and their belief-MDP reductions, where…
We consider a periodic-review, fixed-lifetime perishable inventory control problem where demand is a general stochastic process. The optimal solution for this problem is intractable due to "curse of dimensionality". In this paper, we first…
Algorithms of control of differential equations solutions are under investigation in the article. Idealized and real modifications of the algorithms are distinguished. An equation, which can be the base equation for investigation of the…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
Decisions based partly or solely on predictions from probabilistic models may be sensitive to model misspecification. Statisticians are taught from an early stage that "all models are wrong", but little formal guidance exists on how to…
We extend in a minimal way the stylized model introduced in in "Tipping Points in Macroeconomic Agent Based Models" [JEDC 50, 29-61 (2015)], with the aim of investigating the role and efficacy of monetary policy of a `Central Bank' that…