Related papers: A Note on Costs Minimization with Stochastic Targe…
In this paper, we study the minimal cost constrained input-output (I/O) and control configuration co-design problem. Given a linear time-invariant plant, where a collection of possible inputs and outputs is known a priori, we aim to…
In this paper, error estimates are presented for a certain class of optimal control problems with elliptic PDE-constraints. It is assumed that in the cost functional the state is measured in terms of the energy norm generated by the state…
We consider a constrained version of the shortest path problem on the complete graphs whose edges have independent random lengths and costs. We establish the asymptotic value of the minimum length as a function of the cost-budget within a…
Optimal scheduling of batteries has significant potential to reduce electricity costs and to enhance grid resilience. However, effective battery scheduling must account for both physical constraints as well as uncertainties in consumption…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
This paper studies the long-time behavior of optimal solutions for a class of linear-convex optimal control problems. We focus on a partial exponential turnpike property, established without imposing controllability or stabilizability…
Many combinatorial optimisation problems can be modelled as valued constraint satisfaction problems. In this paper, we present a polynomial-time algorithm solving the valued constraint satisfaction problem for a fixed number of variables…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important examples, including entropic risk…
In this paper, we study a new stochastic submodular maximization problem with state-dependent costs and rejections. The input of our problem is a budget constraint $B$, and a set of items whose states (i.e., the marginal contribution and…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimisation, over a set of possibly non-dominated probability measures, of solutions of backward stochastic…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
In this paper, we consider a domestic standalone microgrid equipped with local renewable energy generation such as photovoltaic panels, consumption units, and battery storage to balance supply and demand and investigate the stochastic…