Related papers: Bounded-Velocity Stochastic Control for Dynamic Re…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…

This paper proposes networked dynamics to solve resource allocation problems over time-varying multi-agent networks. The state of each agent represents the amount of used resources (or produced utilities) while the total amount of resources…

The study of density-dependent stochastic population processes is important from a historical perspective as well as from the perspective of a number of existing and emerging applications today. In more recent applications of these…

Variational inequalities are a formalism that includes games, minimization, saddle point, and equilibrium problems as special cases. Methods for variational inequalities are therefore universal approaches for many applied tasks, including…

We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…

Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…

Stochastic resetting is a driving mechanism that is known to minimize the first passage time to reach a target, at the cost of energy expenditure. The choice of the physical implementation of each resetting event determines the tradeoff…

In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time…

We propose an optimization strategy to control the dynamics of a stochastic system transferred from one thermal equilibrium to another and apply it experimentally to a Brownian particle in an optical trap under compression. Based on a…

In this work, we propose distributed and networked energy management scenarios to optimize the production and reservation of energy among a set of distributed energy nodes. In other words, the idea is to optimally allocate the generated and…

We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…

We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…

Resource allocation is an essential aspect of successful Product Development (PD). In this paper, we formulate the dynamic resource allocation of the PD process as a convex optimization problem. Specially, we build and solve two variants of…

This paper introduces a new formulation for stochastic optimal control and stochastic dynamic optimization that ensures safety with respect to state and control constraints. The proposed methodology brings together concepts such as…

Research has characterized the various forms cognitive control can take, including enhancement of goal-relevant information, suppression of goal-irrelevant information, and overall inhibition of potential responses, and has identified…

Inspired by recent industrial efforts toward high altitude flying wireless access points powered by renewable energy, an online resource allocation problem for a mobile access point (AP) travelling at high altitude is formulated. The AP…

It has recently been shown that the minimum energy solution of the control problem for a linear system produces a control trajectory that is nonlocal. An issue then arises when the dynamics represents a linearization of the underlying…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

The configuration balancing problem with stochastic requests generalizes many well-studied resource allocation problems such as load balancing and virtual circuit routing. In it, we have $m$ resources and $n$ requests. Each request has…