Related papers: EM Algorithm and Stochastic Control in Economics
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…
We show that a large class of Estimation of Distribution Algorithms, including, but not limited to, Covariance Matrix Adaption, can be written as a Monte Carlo Expectation-Maximization algorithm, and as exact EM in the limit of infinite…
We develop a family of accelerated stochastic algorithms that minimize sums of convex functions. Our algorithms improve upon the fastest running time for empirical risk minimization (ERM), and in particular linear least-squares regression,…
Expectation Maximization (EM) is among the most popular algorithms for estimating parameters of statistical models. However, EM, which is an iterative algorithm based on the maximum likelihood principle, is generally only guaranteed to find…
In this paper, we propose an efficient implementation of deep policy gradient method (PGM) for optimal control problems in continuous time. The proposed method has the ability to manage the allocation of computational resources, number of…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
This paper presents a stochastic, model predictive control (MPC) algorithm that leverages short-term probabilistic forecasts for dispatching and rebalancing Autonomous Mobility-on-Demand systems (AMoD, i.e. fleets of self-driving vehicles).…
We present a data-driven algorithm for efficiently computing stochastic control policies for general joint chance constrained optimal control problems. Our approach leverages the theory of kernel distribution embeddings, which allows…
In this paper we provide a new analysis of the SEM algorithm. Unlike previous work, we focus on the analysis of a single run of the algorithm. First, we discuss the algorithm for general mixture distributions. Second, we consider Gaussian…
In this paper, we consider the problem of periodic optimal control of nonlinear systems subject to online changing and periodically time-varying economic performance measures using model predictive control (MPC). The proposed economic MPC…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
A key difficulty that arises from real event data is imprecision in the recording of event time-stamps. In many cases, retaining event times with a high precision is expensive due to the sheer volume of activity. Combined with practical…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
We pose the decumulation strategy for a Defined Contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset allocation strategy. We impose maximum and minimum constraints…
The expectation-maximization (EM) algorithm is an iterative method for finding maximum likelihood estimates when data are incomplete or are treated as being incomplete. The EM algorithm and its variants are commonly used for parameter…
Model predictive control is an advanced control approach for multivariable systems with constraints, which is reliant on an accurate dynamic model. Most real dynamic models are however affected by uncertainties, which can lead to…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
This paper presents a longitudinal slip control system for a rear-wheel-driven electric endurance race car. The control system integrates Model Predictive Control (MPC) with Extremum Seeking Control (ESC) to optimize the traction and…