Related papers: Impulse control and expected suprema
This paper discusses the problem of assembly line control and introduces an optimal control formulation that can be used to improve the performance of the assembly line, in terms of cycle time minimization, resources' utilization, etc. A…
Control theory plays a pivotal role in understanding and optimizing the behavior of complex dynamical systems across various scientific and engineering disciplines. Two key frameworks that have emerged for modeling and solving control…
In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems (also known as Markov decision processes) with time averaging and time discounting optimality criteria, and we establish that the…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
Markov jump processes are widely used to model natural and engineered processes. In the context of biological or chemical applications one typically refers to the chemical master equation (CME), which models the evolution of the probability…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
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 paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
In this paper we consider time-optimal control problems for systems with backlash. Such systems are described by second order differential equations coupled with restrictions modeling the inelastic shocks. A main feature of such systems is…
Peak estimation bounds extreme values of a function of state along trajectories of a dynamical system. This paper focuses on extending peak estimation to continuous and discrete settings with time-independent and time-dependent uncertainty.…
We study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at jump times of independent Poisson process. Under relatively weak…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
The master equation and, more generally, Markov processes are routinely used as models for stochastic processes. They are often justified on the basis of randomization and coarse-graining assumptions. Here instead, we derive n-th order…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
When dealing with control systems, it is useful and even necessary to assess the performance of underlying transfer functions. The functions may or may not be linear, may or may not be even monotonic. In addition, they may have structural…