Related papers: One step futher: an explicit solution to Robbins' …
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
If $$ \Delta(x) := \sum_{n\le x}c_n - Cx $$ denotes the error term in the classical Rankin-Selberg problem, then it is proved that $$ \int_0^X \Delta^4(x)\d x \ll_\epsilon X^{3+\epsilon},\quad \int_0^X \Delta_1^4(x)\d x \ll_\epsilon…
We introduce an alternative approach for the analysis and numerical approximation of the optimal feedback control mapping. It consists in looking at a typical optimal control problem in such a way that feasible controls are mappings…
Bayesian optimization is a popular framework for efficiently tackling black-box search problems. As a rule, these algorithms operate by iteratively choosing what to evaluate next until some predefined budget has been exhausted. We…
This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Levy process X. More precisely, we are interested in capped versions of the American lookback optimal stopping problem, which has its…
The problem of robust mean estimation in high dimensions is studied, in which a certain fraction (less than half) of the datapoints can be arbitrarily corrupted. Motivated by compressive sensing, the robust mean estimation problem is…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
This paper addresses an optimal control problem for a robot that has to find and collect a finite number of objects and move them to a depot in minimum time. The robot has fourth-order dynamics that change instantaneously at any pick-up or…
Consider the problem of sampling sequentially from a finite number of $N \geq 2$ populations, specified by random variables $X^i_k$, $ i = 1,\ldots , N,$ and $k = 1, 2, \ldots$; where $X^i_k$ denotes the outcome from population $i$ the…
We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
Consider the problem of maximizing the probability of stopping with one of the two highest values in a Bernoulli random walk with arbitrary parameter $p$ and finite time horizon $n$. Allaart \cite{Allaart} proved that the optimal strategy…
In this article a special class of nonlinear optimal control problems involving a bilinear term in the boundary condition is studied. These kind of problems arise for instance in the identification of an unknown space-dependent Robin…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
This paper introduces an optimization problem (P) and a solution strategy to design variable-speed-limit controls for a highway that is subject to traffic congestion and uncertain vehicle arrival and departure. By employing a finite…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
We consider the occupancy problem where balls are thrown independently at infinitely many boxes with fixed positive frequencies. It is well known that the random number of boxes occupied by the first n balls is asymptotically normal if its…
In many settings people must give numerical scores to entities from a small discrete set. For instance, rating physical attractiveness from 1--5 on dating sites, or papers from 1--10 for conference reviewing. We study the problem of…
The Golomb ruler problem is defined as follows: Given a positive integer n, locate n marks on a ruler such that the distance between any two distinct pair of marks are different from each other and the total length of the ruler is…