Related papers: Feedback Solution to Optimal Switching Problems wi…
This paper devotes to the development of an optimal acceleration/speed profile for autonomous vehicles approaching a traffic light. The design objective is to achieve both short travel time and low energy consumption as well as avoid idling…
In this paper, we investigate cost-aware joint learning and optimization for multi-channel opportunistic spectrum access in a cognitive radio system. We investigate a discrete time model where the time axis is partitioned into frames. Each…
This paper presents an adaptive haptic shared control framework wherein a driver and an automation system are physically connected through a motorized steering wheel. The automation system is modeled as an intelligent agent that is not only…
Practical online learning tasks are often naturally defined on unconstrained domains, where optimal algorithms for general convex losses are characterized by the notion of comparator adaptivity. In this paper, we design such algorithms in…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
We consider the minimization of the cost of actuation error under resource constraints for real-time tracking in wireless autonomous systems. A transmitter monitors the state of a discrete random process and sends updates to the receiver…
In this article, we consider the problem of unconstrained time-varying convex optimization, where the cost function changes with time. We provide an in-depth technical analysis of the problem and argue why freezing the cost at each time…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
We introduce and study online conversion with switching costs, a family of online problems that capture emerging problems at the intersection of energy and sustainability. In this problem, an online player attempts to purchase…
We present a novel penalty approach for a class of quasi-variational inequalities (QVIs) involving monotone systems and interconnected obstacles. We show that for any given positive switching cost, the solutions of the penalized equations…
For a general optimal control problem for dynamical systems with hybrid dynamics, we study the dependency of the optimal cost and of the value function on the initial conditions, parameters, and perturbations. We show that upper and lower…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
Reinforcement learning (RL) -- finding the optimal behaviour (also referred to as policy) maximizing the collected long-term cumulative reward -- is among the most influential approaches in machine learning with a large number of successful…
We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expectation. Exploiting an approximation by switching systems,…
Quantum optimal control is a technique for controlling the evolution of a quantum system and has been applied to a wide range of problems in quantum physics. We study a binary quantum control optimization problem, where control decisions…
The problem of resource allocation of nonlinear networked control systems is investigated, where, unlike the well discussed case of triggering for stability, the objective is optimal triggering. An approximate dynamic programming approach…
We study the problem of optimal state-feedback tracking control for unknown discrete-time deterministic systems with input constraints. To handle input constraints, state-of-art methods utilize a certain nonquadratic stage cost function,…
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…
This paper is concerned with the design of optimal control for finite-dimensional control-affine nonlinear dynamical systems. We introduce an optimal control problem that specifically optimizes nonlinear observability in addition to…
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…