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Information inequalities appear in many database applications such as query output size bounds, query containment, and implication between data dependencies. Recently Khamis et al. proposed to study the algorithmic aspects of information…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type…
We describe an experiment on an underdamped mechanical oscillator used as an information engine. The system is equivalent to an inertial Brownian particle confined in a harmonic potential whose center is controlled by a feedback protocol…
Large-scale nonsmooth optimization problems arise in many real-world applications, but obtaining exact function and subgradient values for these problems may be computationally expensive or even infeasible. In many practical settings, only…
We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed random time independent of the Brownian motion driving the…
We study a stochastic control system, described by Ito controllable equation, and evaluate the solutions by an entropy functional (EF), defined by the equation functions of controllable drift and diffusion. Considering a control problem for…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
A discrete time stochastic feedback control system with a noisy communication channel between the sensor and the controller is considered. The sensor has limited memory. At each time, the sensor transmits encoded symbol over the channel and…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
We consider the following sequential decision problem. Given a set of items of unknown utility, we need to select one of as high a utility as possible (``the selection problem''). Measurements (possibly noisy) of item values prior to…
Closed-loop or feedback controlled ratchets are Brownian motors that operate using information about the state of the system. For these ratchets, we compute the power output and we investigate its relation with the information used in the…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
Measurement and feedback allows an external agent to extract work from a system in contact with a single thermal bath. The maximum amount of work that can be extracted in a single measurement and the corresponding feedback loop is given by…
We develop a novel framework for costly information acquisition in which a decision-maker learns about an unobserved state by choosing a signal distribution, with the cost of information determined by the distribution of noise in the…
Boolean matrix factorization and Boolean matrix completion from noisy observations are desirable unsupervised data-analysis methods due to their interpretability, but hard to perform due to their NP-hardness. We treat these problems as…
This paper revisits the partial information optimal control problem considered by Wang, Wu and Xiong [Wang et al 2013], where the system is derived by a controlled forward-backward stochastic differential equation with correlated noises…
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is $C^1$ and its directional derivatives are the value functions of certain optimal stopping problems. Guided by the…