Related papers: Optimality of two-parameter strategies in stochast…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…
Consider the following multi-phase project management problem. Each project is divided into several phases. All projects enter the next phase at the same point chosen by the decision maker based on observations up to that point. Within each…
Optimal control theory is an effective tool to improve parameter estimation of quantum systems. Different methods can be employed for the design of the control protocol. They can be based either on Quantum Fischer Information (QFI)…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…
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…
Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear programs over a space of measures on the state and control…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…
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…
A relationship between two sided discounted singular control problems and Dynkin games is established for real valued L\'evy processes. In addition, the solution of a two-sided ergodic singular control problem is obtained as the limit of…
Parameter control and dynamic algorithm configuration study how to dynamically choose suitable configurations of a parametrized algorithm during the optimization process. Despite being an intensively researched topic in evolutionary…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
We study a class of two-stage stochastic programs, namely, those with fixed recourse matrix and fixed costs, and linear second stage. We show that, under mild assumptions, the problem can be solved with just one scenario, which we call an…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…
Two traditional paradigms are often used to describe the behavior of agents in multi-agent complex systems. In the first one, agents are considered to be fully rational and systems are seen as multi-player games. In the second one, agents…