Related papers: An Optimal Stopping Problem Modeling Technical Ana…
We formulate an economic optimal control problem for transport of natural gas over a large-scale transmission pipeline network under transient flow conditions. The objective is to maximize economic welfare for users of the pipeline system,…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
We address an optimal stopping problem over the set of Bermudan-type strategies $\Theta$ (which we understand in a more general sense than the stopping strategies for Bermudan options in finance) and with non-linear operators (non-linear…
The paper studies a dynamic blocking problem, motivated by a model of optimal fire confinement. While the fire can expand with unit speed in all directions, barriers are constructed in real time. An optimal strategy is sought, minimizing…
A version of the Dynamical Systems Gradient Method for solving ill-posed nonlinear monotone operator equations is studied in this paper. A discrepancy principle is proposed and justified. A numerical experiment was carried out with the new…
The energy and material processing industries are traditionally characterized by very large-scale physical capital that is custom-built with long lead times and long lifetimes. However, recent technological advancement in low-cost…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We present a nonlinear model predictive control (MPC) scheme for tracking of dynamic target signals. The scheme combines stabilization and dynamic trajectory planning in one layer, thus ensuring constraint satisfaction irrespective of…
A new method for the optimal solutions is proposed. Originating from the continuous-time dynamics stability theory in the control field, the optimal solution is anticipated to be obtained in an asymptotically evolving way. By introducing a…
Adaptive optimal control of nonlinear dynamic systems with deterministic and known dynamics under a known undiscounted infinite-horizon cost function is investigated. Policy iteration scheme initiated using a stabilizing initial control is…
We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset…
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
Chemical reactions modeled by ordinary differential equations are finite-dimensional dissipative dynamical systems with multiple time-scales. They are numerically hard to tackle -- especially when they enter an optimal control problem as…
We perform a detailed study of a simple mathematical model addressing the problem of optimally regulating a process subject to periodic external forcing, which is interesting both in view of its direct applications and as a prototype for…
In this paper, we present a novel method for computing the asymptotic values of both the optimal threshold, and the probability of success in sequences of optimal stopping problems. This method, based on the resolution of a first-order…