Related papers: Optimal Multiple Stopping Problem under Nonlinear …
A problem of computing time-fuel optimal control for state transfer of a single input linear time invariant (LTI) system to the origin is considered. The input is assumed to be bounded. Since, the optimal control is bang-off-bang in nature,…
Single fault sequential change point problems have become important in modeling for various phenomena in large distributed systems, such as sensor networks. But such systems in many situations present multiple interacting faults. For…
Suppose an online platform wants to compare a treatment and control policy, e.g., two different matching algorithms in a ridesharing system, or two different inventory management algorithms in an online retail site. Standard randomized…
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…
We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum…
Reinforcement learning is widely used in applications where one needs to perform sequential decisions while interacting with the environment. The problem becomes more challenging when the decision requirement includes satisfying some safety…
In this paper we provide a thorough, rigorous theoretical framework to assess optimality guarantees of sampling-based algorithms for drift control systems: systems that, loosely speaking, can not stop instantaneously due to momentum. We…
This paper considers the multi-armed thresholding bandit problem -- identifying all arms whose expected rewards are above a predefined threshold via as few pulls (or rounds) as possible -- proposed by Locatelli et al. [2016] recently.…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
This paper studies the scheduling of jobs of different families on parallel machines with qualification constraints. Originating from semiconductor manufacturing, this constraint imposes a time threshold between the execution of two jobs of…
Specifying reward functions for complex tasks like object manipulation or driving is challenging to do by hand. Reward learning seeks to address this by learning a reward model using human feedback on selected query policies. This shifts…
The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…
We consider the problem of shaping the transient step response of nonlinear systems to satisfy a class of integral constraints. Such constraints are inherent in hybrid energy systems consisting of energy sources and storage elements. While…
Efficient methods to provide sub-optimal solutions to non-convex optimization problems with knowledge of the solution's sub-optimality would facilitate the widespread application of nonlinear optimal control algorithms. To that end,…
In this paper, we study a slate bandit problem where the function that determines the slate-level reward is non-separable: the optimal value of the function cannot be determined by learning the optimal action for each slot. We are mainly…
In our problem, we are given access to a number of sequences of nonnegative i.i.d. random variables, whose realizations are observed sequentially. All sequences are of the same finite length. The goal is to pick one element from each…
We present the conditions under which the time-optimal control problem for a nonlinear non-autonomous linearizable system can be solved by the method of successive approximations, at each step of which a power Markov moment min-problem is…
A multi-source quickest detection problem is considered. Assume there are two independent Poisson processes $X^{1}$ and $X^{2}$ with disorder times $\theta_{1}$ and $\theta_{2}$, respectively; that is, the intensities of $X^1$ and $X^2$…
We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing…
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…