Related papers: On the Finite Horizon Optimal Switching Problem wi…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…
This paper considers the problem of decentralized submodular maximization subject to partition matroid constraint using a sequential greedy algorithm with probabilistic inter-agent message-passing. We propose a communication-aware framework…
Suppose $N$ independent Bernoulli trials are observed sequentially at random times of a mixed binomial process. The task is to maximise, by using a nonanticipating stopping strategy, the probability of stopping at the last success. We focus…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
We present a simple model that enables us to analytically characterize a floppy to rigid transition and an associated self-adaptive intermediate phase in a random bond network. In this intermediate phase, the network adapts itself to lower…
We consider the optimal control of linear systems over wireless MIMO fading channels, where the MIMO wireless fading and random access of the remote controller may cause intermittent controllability or uncontrollability of the closed-loop…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
A random sequence having two segments being the homogeneous Markov processes is registered. Each segment has his own transition probability law and the length of the segment is unknown and random. The transition probabilities of each…
In this paper, we investigate optimal control problems governed by semilinear elliptic variational inequalities involving constraints on the state, and more precisely the obstacle problem. Since we adopt a numerical point of view, we first…
Dynamic and evolving operational and economic environments present significant challenges for decision-making. We explore a simulation optimization problem characterized by non-stationary input distributions with regime-switching dynamics…
Motion planning under differential constraints is a classic problem in robotics. To date, the state of the art is represented by sampling-based techniques, with the Rapidly-exploring Random Tree algorithm as a leading example. Yet, the…
In this paper, we consider the problem of controlling a dynamical system such that its trajectories satisfy a temporal logic property in a given amount of time. We focus on multi-affine systems and specifications given as syntactically…
This paper presents a simulation study on turnpike phenomena in stochastic optimal control problems. We employ the framework of Polynomial Chaos Expansions (PCE) to investigate the presence of turnpikes in stochastic LQ problems. Our…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
This paper proposes a methodology for optimizing a frequency-hopping network that uses continuous-phase frequency-shift keying and adaptive capacity-approaching channel coding. The optimization takes into account the spatial distribution of…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
This paper considers online optimization for a system that performs a sequence of back-to-back tasks. Each task can be processed in one of multiple processing modes that affect the duration of the task, the reward earned, and an additional…