Related papers: Dynamic programming approach to principal-agent pr…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the running cost is continuous but not necessarily Lipschitz with…
Optimal control problems can be solved via a one-shot (single) optimization or a sequence of optimization using dynamic programming (DP). However, the computation of their global optima often faces NP-hardness, and thus only locally optimal…
In this paper, we address the optimal control of stochastic matching models on general graphs and single arrivals having fixed arrival rates, as introduced in \cite{MaiMoy16}. On the `N-shaped' graph, by following the dynamic programming…
In this paper, we investigate a sequential dynamic team problem consisting of two agents with a nested information structure. We use a combination of the person-by-person and prescription approach to derive structural results for optimal…
We revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure…
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…
We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme -- called contract -- in order to induce an agent to take a costly, unobservable action leading to favorable outcomes. We consider a…
We propose a decentralized game-theoretic framework for dynamic task allocation problems for multi-agent systems. In our problem formulation, the agents' utilities depend on both the rewards and the costs associated with the successful…
In this paper we consider a family of optimal control problems for economic models whose state variables are driven by Delay Differential Equations (DDE's). We consider two main examples: an AK model with vintage capital and an advertising…
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of…
Complex scheduling problems require a large amount computation power and innovative solution methods. The objective of this paper is the conception and implementation of a multi-agent system that is applicable in various problem domains.…
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…
We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…
We introduce a dynamic mechanism design problem in which the designer wants to offer for sale an item to an agent, and another item to the same agent at some point in the future. The agent's joint distribution of valuations for the two…
The principle of optimality is a fundamental aspect of dynamic programming, which states that the optimal solution to a dynamic optimization problem can be found by combining the optimal solutions to its sub-problems. While this principle…
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form, and show error estimates and a convergence result of the value in some weak sense…
We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…