Related papers: Optimal Multiple Stopping Problem under Nonlinear …
In this paper we present the Warm-starting Dynamic Thresholding algorithm, developed using dynamic programming, for a variant of the standard online selection problem. The problem allows job positions to be either free or already occupied…
In this technical note, we investigate an optimal output consensus problem for heterogeneous uncertain nonlinear multi-agent systems. The considered agents are described by high-order nonlinear dynamics subject to both static and dynamic…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…
We take a unifying approach to single selection optimal stopping problems with random arrival order and independent sampling of items. In the problem we consider, a decision maker (DM) initially gets to sample each of $N$ items…
In this article, we propose a tractable nonlinear fault isolation filter along with explicit performance bounds for a class of nonlinear dynamical systems. We consider the presence of additive and multiplicative faults, occurring…
Consider a discrete-time optimal selection problem where one observes a sequence of independent Bernoulli trials and receives a nonnegative reward upon stopping on a success. The aim is to find a single-choice strategy that maximises the…
Reinforcement learning can greatly benefit from the use of options as a way of encoding recurring behaviours and to foster exploration. An important open problem is how can an agent autonomously learn useful options when solving particular…
We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions $f$ and transition kernels $Q$ for time-inconsistent stopping problems under nonexponential discounting in discrete time. First,…
In this paper, we present a novel method for computing the asymptotic values of both the optimal threshold, and the probability of success in sequences of optimal stopping problems. This method, based on the resolution of a first-order…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to…
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
We investigate an entropy-regularized reinforcement learning (RL) approach to optimal stopping problems motivated by real option models. Classical stopping rules are strict and non-randomized, limiting natural exploration in RL settings. To…
Constrained decision-making is essential for designing safe policies in real-world control systems, yet simulated environments often fail to capture real-world adversities. We consider the problem of learning a policy that will maximize the…
In distributed model predictive control (DMPC), where a centralized optimization problem is solved in distributed fashion using dual decomposition, it is important to keep the number of iterations in the solution algorithm, i.e. the amount…
We give answer to an open question by proving a sufficient optimality condition for state-linear optimal control problems with time delays in state and control variables. In the proof of our main result, we transform a delayed state-linear…
We consider a renewal-reward process with multivariate rewards. Such a process is constructed from an i.i.d.\ sequence of time periods, to each of which there is associated a multivariate reward vector. The rewards in each time period may…
This paper considers a pair $(\mathbb{F},\tau)$, where $\mathbb{F}$ is a filtration representing the "public" flow of information which is available to all agents overtime, and $\tau$ is a random time which might not be an…