Related papers: On the Finite Horizon Optimal Switching Problem wi…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…
We consider the classical stochastic multi-armed bandit problem with a constraint that limits the total cost incurred by switching between actions to be no larger than a given switching budget. For this problem, we prove matching upper and…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
Lazy scheduling, i.e. setting transmit power and rate in response to data traffic as low as possible so as to satisfy delay constraints, is a known method for energy efficient transmission.This paper addresses an online lazy scheduling…
Time-optimal control for high-order chain-of-integrator systems with full state constraints remains an open and challenging problem within the discipline of optimal control. The behavior of optimal control in high-order problems lacks…
Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…
This paper considers designing an optimal policy for deadline-constrained access in cognitive radio networks, where a secondary user needs to complete a packet transmission over the vacant spectrum within a delivery deadline. To minimize…
This paper addresses finite-time horizon optimal control of single-loop networked control systems with stochastically modeled communication channel and disturbances. To cope with the uncertainties, an optimization-based control scheme is…
We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…
In this paper we formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an…
We consider the optimization of a dynamical system by switching at discrete time points between abstract evolution equations composed by nonlinearly perturbed strongly continuous semigroups, nonlinear state reset maps at mode transition…
While many techniques have been developed for chance constrained stochastic optimal control with Gaussian disturbance processes, far less is known about computationally efficient methods to handle non-Gaussian processes. In this paper, we…
Large-scale constrained optimization problems are at the core of many tasks in control, signal processing, and machine learning. Notably, problems with functional constraints arise when, beyond a performance{\nobreakdash-}centric goal…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
This paper derives an optimal control strategy for a simple stochastic dynamical system with constant drift and an additive control input. Motivated by the example of a physical system with an unexpected change in its dynamics, we take the…
This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…
This paper considers the problem of real-time mode scheduling in linear time-varying switched systems subject to a quadratic cost functional. The execution time of hybrid control algorithms is often prohibitive for real-time applications…
We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…
We study the turnpike phenomenon for optimal control problems with mean field dynamics that are obtained as the limit $N\rightarrow \infty$ of systems governed by a large number $N$ of ordinary differential equations. We show that the…