Related papers: Finite-horizon optimal multiple switching with sig…
This paper develops a method to upper-bound extreme-values of time-windowed risks for stochastic processes. Examples of such risks include the maximum average or 90% quantile of the current along a transmission line in any 5-minute window.…
We consider Markov decision processes where the state of the chain is only given at chosen observation times and of a cost. Optimal strategies involve the optimisation of observation times as well as the subsequent action values. We…
In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by switching between different states/investments. However, he is…
In modern engineering scenarios, there is often a strict upper bound on the number of algorithm iterations that can be performed within a given time limit. This raises the question of optimal algorithmic configuration for a fixed and finite…
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…
In this paper, we study a pricing problem of the multiple reset put option, which allows the holder to reset several times a current strike price to obtain an at-the-money European put option. We formulate the pricing problem as a multiple…
A new formulation of Stochastic Model Predictive Output Feedback Control is presented and analyzed as a translation of Stochastic Optimal Output Feedback Control into a receding horizon setting. This requires lifting the design into a…
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected…
This paper proposes a new class of online policies for scheduling in input-buffered crossbar switches. Our policies are throughput optimal for a large class of arrival processes which satisfy strong-law of large numbers. Given an initial…
This paper proposes a finite-horizon approximation scheme and introduces episodic equilibrium as a solution concept for stochastic games (SGs), where agents strategize based on the current state and episode stage. The paper also establishes…
The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle…
This paper considers online switching control with a finite candidate controller pool, an unknown dynamical system, and unknown cost functions. The candidate controllers can be unstabilizing policies. We only require at least one candidate…
Most of the early input-queued switch research focused on establishing throughput optimality of the max-weight scheduling policy, with some recent research showing that max-weight scheduling is optimal with respect to total expected delay…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
Hybrid switching - in which a high bandwidth circuit switch (optical or wireless) is used in conjunction with a low bandwidth packet switch - is a promising alternative to interconnect servers in today's large scale data-centers. Circuit…
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple…
We provide a stability and performance analysis for nonlinear model predictive control (NMPC) schemes subject to input constraints. Given an exponential stabilizability and detectability condition w.r.t. the employed state cost, we provide…