Related papers: Finite-horizon optimal multiple switching with sig…
The topic of this manuscript is the stability analysis of continuous-time switched nonlinear systems with constraints on the admissible switching signals. Our particular focus lies in considering signals characterized by upper and lower…
This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints. In…
This paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage…
Motivated by various distributed control applications, we consider a linear system with Gaussian noise observed by multiple sensors which transmit measurements over a dynamic lossy network. We characterize the stationary optimal sensor…
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
In this paper, we study the optimal stopping problem in the case where the reward is given by a family $(\phi(\tau ),\;\;\tau \in \stopo)$ of non negative random variables indexed by predictable stopping times. We treat the problem by means…
This paper deals with design of maximum hands-off hybrid control sequences for discrete-time switched linear systems. It is a sparsest combination of a discrete control sequence (i.e. the switching sequence) and a continuous control…
The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is characterized by the upper Snell envelope. The infimum of the…
We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite…
In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
We study finite-horizon optimal switching with discrete intervention dates on a general filtration, allowing continuous-time observations between decision dates, and develop a deep-learning-based dual framework with computable upper bounds.…
As the relevance of control systems capable of dealing with multiple objectives rises (e.g. being economic while maintaining a certain performance), multi-objective Switched Model Predictive Control combines all the advantages of Model…
In this paper we consider an infinite horizon zero-sum differential game where the dynamics of each player and the running cost are also depending on the evolution of some discrete (switching) variables. In particular, such switching…
This paper studies the optimal output-feedback control of a linear time-invariant system where a stochastic event-based scheduler triggers the communication between the sensor and the controller. The primary goal of the use of this type of…
We study L 1 -optimal stabilization of linear systems with finite and infinite horizons. Main results concern the existence, uniqueness and structure of optimal solutions, and the robustness of optimal cost.