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We investigate joint optimization on information acquisition and portfolio selection within a Bayesian adaptive framework. The investor dynamically controls the precision of a private signal and incurs costs while updating her belief about…
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum,…
The minimization of convex functions which are only available through partial and noisy information is a key methodological problem in many disciplines. In this paper we consider convex optimization with noisy zero-th order information,…
This paper presents a novel methodology to tackle feedback optimal control problems in scenarios where the exact state of the controlled process is unknown. It integrates data assimilation techniques and optimal control solvers to manage…
We propose a general framework, dubbed Stochastic Processing under Imperfect Information (SPII), to study the impact of information constraints and memories on dynamic resource allocation. The framework involves a Stochastic Processing…
We study the worst case tractability of multivariate linear problems defined on separable Hilbert spaces. Information about a problem instance consists of noisy evaluations of arbitrary bounded linear functionals, where the noise is either…
In several applications such as databases, planning, and sensor networks, parameters such as selectivity, load, or sensed values are known only with some associated uncertainty. The performance of such a system (as captured by some…
We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2016), we prove that the value of the problem is a Frechet-differentiable function of the drift of the…
This paper studies the differentiability of the value function of switched linear systems under arbitrary switching and controlled switching, referred to as worst-case and optimal value functions respectively. First, we show that the value…
We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
In communications, unknown variables are usually modelled as random variables, and concepts such as independence, entropy and information are defined in terms of the underlying probability distributions. In contrast, control theory often…
In many real world problems, optimization decisions have to be made with limited information. The decision maker may have no a priori or posteriori data about the often nonconvex objective function except from on a limited number of points…
We consider optimal control of a multi-class queue in the Halfin--Whitt regime, and revisit the notion of asymptotic optimality and the associated optimality gaps. The existing results in the literature for such systems provide…
Adiabatic Quantum Computing relies on the quantum adiabatic theorem, which states that a quantum system evolves along its ground state with time if the governing Hamiltonian varies infinitely slowly. However, practical limitations force…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
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…
In this paper we present an information theoretic approach to stochastic optimal control problems for systems with compound Poisson noise. We generalize previous work on information theoretic path integral control to discontinuous dynamics…
We consider the problem of sequential decision making on random fields corrupted by noise. In this scenario, the decision maker observes a noisy version of the data, yet judged with respect to the clean data. In particular, we first…
In this short note we will provide a sufficient and necessary condition to have uniqueness of the location of the maximum of a stochastic process over an interval. The result will also express the mean value of the location in terms of the…