Related papers: Dynamic programming approach to principal-agent pr…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
In this article, we discuss two algorithms tailored to discrete-time deterministic finite-horizon nonlinear optimal control problems or so-called deterministic trajectory optimization problems. Both algorithms can be derived from an…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this work, we consider the problem of autonomous racing with multiple agents where agents must interact closely and influence each other to compete. We model interactions among agents through a game-theoretical framework and propose an…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
A very simple example of an algorithmic problem solvable by dynamic programming is to maximize, over sets A in {1,2,...,n}, the objective function |A| - \sum_i \xi_i 1(i \in A,i+1 \in A) for given \xi_i > 0. This problem, with random…
This paper considers the hidden-action model of the principal-agent problem, in which a principal incentivizes an agent to work on a project using a contract. We investigate whether contracts with bounded payments are learnable and…
A dynamical programming approach is used to deal with the problem of controlling the directed abelian Dhar-Ramaswamy model on two-dimensional square lattice. Two strategies are considered to obtain explicit results to this task. First, the…
We study the design of optimal allocation mechanisms in an environment where agents and goods arrive stochastically. Agents have private types that determine the principal payoff. Either agents or goods can be held in a queue at a flow cost…
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
We study a bilevel \emph{max-max} optimization framework for principal-agent contract design, in which a principal chooses incentives to maximize utility while anticipating the agent's best response. This problem, central to moral hazard…
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…
This paper is concerned with the problem of designing agents able to dynamically select information from multiple data sources in order to tackle tasks that involve tracking a target behavior while optimizing a reward. We formulate this…
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…
The solution of a constrained linear-quadratic regulator problem is determined by the set of its optimal active sets. We propose an algorithm that constructs this set of active sets for a desired horizon N from that for horizon N-1. While…
In this paper, we consider a problem of contract theory in which several Principals hire a common Agent and we study the model in the continuous time setting. We show that optimal contracts should satisfy some equilibrium conditions and we…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…
This paper focuses on the role of a government of a large population of interacting agents as a mean field optimal control problem derived from deterministic finite agent dynamics. The control problems are constrained by a PDE of…