Related papers: A Solution Technique for L\'evy Driven Long Term A…
Predictive control is frequently used for control problems involving constraints. Being an optimization based technique utilizing a user specified so-called stage cost, performance properties, i.e., bounds on the infinite horizon…
In this article we consider L\'evy driven continuous time moving average processes observed on a lattice, which are stationary time series. We show asymptotic normality of the sample mean, the sample autocovariances and the sample…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
Intermittent demand fluctuations pose significant challenges in disaster logistics and medical supply systems. In this study, we formulate cumulative demand as a generalized L\'evy process composed of a drift term, Poisson jumps, and…
We consider a control problem where the state must reach asymptotically a target while paying an integral payoff with a non-negative Lagrangian. The dynamics is just continuous, and no assumptions are made on the zero level set of the…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
In this article, we present a long-duration autonomy approach for the control of connected and automated vehicles (CAVs) operating in a transportation network. In particular, we focus on the performance of CAVs at traffic bottlenecks,…
The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…
Stop-loss rules are often studied in the financial literature, but the stop-loss levels are seldom constructed systematically. In many papers, and indeed in practice as well, the level of the stops is too often set arbitrarily. Guided by…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…
The design of the performance index, also referred to as cost or reward shaping, is central to both optimal control and reinforcement learning, as it directly determines the behaviors, trade-offs, and objectives that the resulting control…
In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its…
This work proposes a solution for the longitudinal and lateral control problem of urban autonomous vehicles using a gain scheduling LPV control approach. Using the kinematic and dynamic vehicle models, a linear parameter varying (LPV)…
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded.…
We propose a fine analysis of second order optimality conditions for the optimal control of semi-linear parabolic equations with respect to the initial condition. More precisely, we investigate the following problem: maximise with respect…
We develop an optimization-based framework for joint real-time trajectory planning and feedback control of feedback-linearizable systems. To achieve this goal, we define a target trajectory as the optimal solution of a time-varying…
The dynamic pricing problem of a freeway corridor with high-occupancy toll (HOT) lanes was formulated and solved based on a point queue abstraction of the traffic system [Yin and Lou, 2009]. However, existing pricing strategies cannot…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…