Related papers: Dynamic programming for discrete-time finite horiz…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
We present a numerically tractable formulation for computing the optimal control of the class of hybrid dynamical systems whose trajectories are continuous. Our formulation, an extension of existing relaxed-control techniques for switched…
We study the optimal stopping problem of McKean-Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is that the stopping time also impacts the dynamics of the…
We consider the problem of tracking a target whose dynamics is modeled by a continuous It\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds…
A discrete-time stochastic optimal control problem was recently proposed to address the GLOSA (Green Light Optimal Speed Advisory) problem in cases where the next signal switching time is decided in real time and is therefore uncertain in…
A significant portion of a consumer's annual electrical costs can be made up of coincident peak charges: a transmission surcharge for power consumed when the entire system is at peak demand. This charge occurs only a few times annually, but…
This note proposes a distributed model predictive control (DMPC) scheme with switched cost functions for a class of spatially interconnected systems with communication constraints. Non-iterative and parallel communication strategy is…
This paper considers the problem of real-time mode scheduling in linear time-varying switched systems subject to a quadratic cost functional. The execution time of hybrid control algorithms is often prohibitive for real-time applications…
We suggest a global perspective on dynamic network flow problems that takes advantage of the similarities to port-Hamiltonian dynamics. Dynamic minimum cost flow problems are formulated as open-loop optimal control problems for general…
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that,…
We study an online dynamic pricing problem where the potential demand at each time period $t=1,2,\ldots, T$ is stochastic and dependent on the price. However, a perishable inventory is imposed at the beginning of each time $t$, censoring…
Optimal control for switch-based dynamical systems is a challenging problem in the process control literature. In this study, we model these systems as hybrid dynamical systems with finite number of unknown switching points and reformulate…
We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…
This paper considers a formulation of a differential game with constrained dynamics, where one player selects the dynamics and the other selects the applicable cost. When the game is considered on a finite time horizon, its value satisfies…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…