Related papers: Asymptotic Linearity of Consumption Functions and …
We propose a new directed graphical representation of utility functions, called UCP-networks, that combines aspects of two existing graphical models: generalized additive models and CP-networks. The network decomposes a utility function…
In this paper, we present a robust adaptive model predictive control (MPC) scheme for linear systems subject to parametric uncertainty and additive disturbances. The proposed approach provides a computationally efficient formulation with…
Problems in econometrics, insurance, reliability engineering, and statistics quite often rely on the assumption that certain functions are non-decreasing. To satisfy this requirement, researchers frequently model the underlying phenomena…
Nonlinear power flow constraints render a variety of power system optimization problems computationally intractable. Emerging research shows, however, that the nonlinear AC power flow equations can be successfully modeled using Neural…
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion…
In this paper, we take a control-theoretic approach to answering some standard questions in statistical mechanics, and use the results to derive limitations of classical measurements. A central problem is the relation between systems which…
We study prediction in the functional linear model with functional outputs : $Y=SX+\epsilon $ where the covariates $X$ and $Y$ belong to some functional space and $S$ is a linear operator. We provide the asymptotic mean square prediction…
Sub-sampling is a common and often effective method to deal with the computational challenges of large datasets. However, for most statistical models, there is no well-motivated approach for drawing a non-uniform subsample. We show that the…
We consider a power utility maximization problem with additive habits in a framework of discrete-time markets and random endowments. For certain classes of incomplete markets, we establish estimates for the optimal consumption stream in…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
We analyze the asymptotic properties of a Euclidean optimization problem on the plane. Specifically, we consider a network with three bins and $n$ objects spatially uniformly distributed, each object being allocated to a bin at a cost…
The close link between dissipativity and optimal control is already apparent in Jan C. Willems' first papers on the subject. In recent years, research on this link has been revived with a particular focus on nonlinear problems and…
Sampling-based Model Predictive Control (MPC) is a flexible control framework that can reason about non-smooth dynamics and cost functions. Recently, significant work has focused on the use of machine learning to improve the performance of…
We consider a general class of high-volume, fast-moving production-inventory systems based on both lost-sales and backorder inventory models. Such systems require a fundamental understanding of the asymptotic behavior of key performance…
We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the…
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on…
We design nonlinear and adaptive linear model-predictive control (MPC) techniques to minimize operational costs of compressor-actuated dynamics in natural gas pipeline networks. We establish stability of the local linear system and derive…
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…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
For affine stochastic differential equation with uniformly distributed time delay the local asymptotic properties of the likelihood function are studied. Local asymptotic normality, local asymptotic mixed normality, periodic local…