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Derivative based optimization methods are efficient at solving optimal control problems near local optima. However, their ability to converge halts when derivative information vanishes. The inference approach to optimal control does not…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
In this note, merging ideas from Loeffen (2009) and Renaud (2019), we prove that an (a,b)-strategy maximizes dividend payments subject to fixed transaction costs in a spectrally negative L\'evy model with Parisian ruin, as long as the tail…
In this paper, we consider a risk-averse control problem for diffusion processes, in which there is a partition of the admissible control strategy into two decision-making groups (namely, the {\it leader} and {\it follower}) with different…
This paper studies the problem of controlling linear dynamical systems subject to point-wise-in-time constraints. We present an algorithm similar to online gradient descent, that can handle time-varying and a priori unknown convex cost…
This paper analyzes and explicitly solves a class of long-term average impulse control problems and a related class of singular control problems. The underlying process is a general one-dimensional diffusion with appropriate boundary…
Robust control seeks stabilizing policies that perform reliably under adversarial disturbances, with $\mathcal{H}_\infty$ control as a classical formulation. It is known that policy optimization of robust $\mathcal{H}_\infty$ control…
Positive systems describing networks with inherently non-negative states and inputs arise naturally in routing, logistics, and compartmental modelling. We consider problems modelled as positive linear systems in incidence form with linear…
This paper presents a scheme for dual robust control of batch processes under parametric uncertainty. The dual-control paradigm arises in the context of adaptive control. A trade-off should be decided between the control actions that…
This paper studies a general L\'evy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in…
This paper considers the linear-quadratic dual control problem where the system parameters need to be identified and the control objective needs to be optimized in the meantime. Contrary to existing works on data-driven linear-quadratic…
The discrimination of quantum processes, including quantum states, channels, and superchannels, is a fundamental topic in quantum information theory. It is often of interest to analyze the optimal performance that can be achieved when…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
In this article we study optimal control problems for systems that are affine in one part of the control variable. Finitely many equality and inequality constraints on the initial and final values of the state are considered. We investigate…
We present a numerical scheme to calculate fluctuation identities for exponential L\'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult…
This paper addresses the closed-loop control of an actuator with both a continuous input variable (motor torque) and a discrete input variable (mode selection). In many applications, robots have to bear large loads while moving slowly and…
The problem of constrained Markov decision process is considered. An agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its costs (the number of constraints is relatively small). A new dual…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $\textit{periodic}$ dividend strategies were recently introduced (Albrecher, Gerber…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…