Related papers: Optimal multi-dimensional stochastic harvesting wi…
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasing over time and is thus self-path-dependent. The surplus…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
Many applications require solving non-linear control problems that are classically not well behaved. This paper develops a simple and efficient chattering algorithm that learns near optimal decision policies through an open-loop feedback…
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study…
We present a numerical method for generating the state-feedback control policy associated with general undiscounted, constant-setpoint, infinite-horizon, nonlinear optimal control problems with continuous state variables. The method is…
This paper presents a new approach to Model Predictive Control for environments where essential, discrete variables are partially observed. Under this assumption, the belief state is a probability distribution over a finite number of…
We study the problem of a decision maker who must provide the best possible treatment recommendation based on an experiment. The desirability of the outcome distribution resulting from the policy recommendation is measured through a…
Stochastic gradient descent (SGD) has proven effective in solving many inventory control problems with demand learning. However, it often faces the pitfall of an infeasible target inventory level that is lower than the current inventory…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
The note studies the problem of selecting a good enough subset out of a finite number of alternatives under a fixed simulation budget. Our work aims to maximize the posterior probability of correctly selecting a good subset. We formulate…
This paper studies Markov Decision Processes (MDPs) with atomless initial state distributions and atomless transition probabilities. Such MDPs are called atomless. The initial state distribution is considered to be fixed. We show that for…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
We consider mean-field control problems in discrete time with discounted reward, infinite time horizon and compact state and action space. The existence of optimal policies is shown and the limiting mean-field problem is derived when the…
We study a censored variant of the data-driven newsvendor problem, where the decision-maker must select an ordering quantity that minimizes expected overage and underage costs based only on offline censored sales data, rather than…
This paper investigates a stochastic inventory management problem in which a cash-constrained small retailer periodically purchases a product from suppliers and sells it to a market while facing non-stationary demands. In each period, the…