Related papers: Diffusion Approximations for Controlled Weakly Int…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
The communication channels used to convey information between the components of wireless networked control systems (WNCSs) are subject to packet losses due to time-varying fading and interference. We consider a wireless networked control…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
Although the mean-variance control was initially formulated for financial portfolio management problems in which one wants to maximize expected return and control the risk, our motivations also stem from highway vehicle platoon controls…
We consider the diffusive limit of a typical pure-jump Markovian control problem as the intensity of the driving Poisson process tends to infinity. We show that the convergence speed is provided by the H\"older constant of the Hessian of…
The standard practice in modeling dynamics and optimal control of a large population, ensemble, multi-agent system represented by it's continuum density, is to model individual decision making using local feedback information. In comparison…
We study a Q learning algorithm for continuous time stochastic control problems. The proposed algorithm uses the sampled state process by discretizing the state and control action spaces under piece-wise constant control processes. We show…
For a wide class of continuous-time Markov processes, including all irreducible hypoelliptic diffusions evolving on an open, connected subset of $\RL^d$, the following are shown to be equivalent: (i) The process satisfies (a slightly weaker…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
Regime-switching processes contain two components: continuous component and discrete component, which can be used to describe a continuous dynamical system in a random environment. Such processes have many different properties than general…
We consider the task of filtering a dynamic parameter evolving as a diffusion process, given data collected at discrete times from a likelihood which is conjugate to the marginal law of the diffusion, when a generic dual process on a…
This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…
We consider a system of $N$ interacting particles, described by SDEs driven by Poisson random measures, where the coefficients depend on the empirical measure of the system. Every particle jumps with a jump rate depending on its position.…
The goal of this paper is to analyze distributional Markov Decision Processes as a class of control problems in which the objective is to learn policies that steer the distribution of a cumulative reward toward a prescribed target law,…
We consider a family of controlled reaction-diffusion equations, describing the spatial spreading of an invasive biological species. For a given propagation speed $c\in{I\!\!R}$, we seek a control with minimum cost, which achieves a…
We study a kinetic toy model for a spray of particles immersed in an ambient fluid, subject to some additional random forcing given by a mixing, space-dependent Markov process. Using the perturbed test function method, we derive the…
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and its default causes instantaneous losses…
We study the spread of a novel state in a network, in the presence of an exogenous control. The considered controlled evolutionary dynamics is a non-homogeneous Markov process that describes the evolution of the states of all nodes in the…
Control-type particle filters have been receiving increasing attention over the last decade as a means of obtaining sample based approximations to the sequential Bayesian filtering problem in the nonlinear setting. Here we analyse one such…
In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we…