Related papers: Optimization of a Dynamic Profit Function using Eu…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
We present a method for optimal path planning of human walking paths in mountainous terrain, using a control theoretic formulation and a Hamilton-Jacobi-Bellman equation. Previous models for human navigation were entirely deterministic,…
We propose an algorithm using method of evolving junctions to solve the optimal path planning problems with piece-wise constant flow fields. In such flow fields with a convex Lagrangian in the objective function, we can prove that the…
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…
Interior-point methods offer a highly versatile framework for convex optimization that is effective in theory and practice. A key notion in their theory is that of a self-concordant barrier. We give a suitable generalization of…
In this paper, we propose a multi-player extension of the minimum cost flow problem inspired by a transportation problem that arises in modern transportation industry. We associate one player with each arc of a directed network, each trying…
We present an economics-based method for deciding the optimal rates at which vehicles are allowed to enter a highway. The method exploits the naturally occuring fluctuations of traffic flow and is flexible enough to adapt in real time to…
In this paper, we focus on a method based on optimal control to address the optimization problem. The objective is to find the optimal solution that minimizes the objective function. We transform the optimization problem into optimal…
We consider the proximal gradient method on Riemannian manifolds for functions that are possibly not geodesically convex. Starting from the forward-backward-splitting, we define an intrinsic variant of the proximal gradient method that uses…
The Feynman path integral representation of quantum theory is used in a non--parametric Bayesian approach to determine quantum potentials from measurements on a canonical ensemble. This representation allows to study explicitly the…
This paper derives an optimal control strategy for a simple stochastic dynamical system with constant drift and an additive control input. Motivated by the example of a physical system with an unexpected change in its dynamics, we take the…
This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…
The presence of symmetries in a Hamiltonian system usually implies the existence of conservation laws that are represented mathematically in terms of the dynamical preservation of the level sets of a momentum mapping. The symplectic or…
We focus on the optimization problem with smooth, possibly nonconvex objectives and a convex constraint set for which the Euclidean projection operation is practically available. Focusing on this setting, we carry out a general convergence…
Time derivatives of scalar fields occur quadratically in textbook actions. A simple Legendre transformation turns the lagrangian into a hamiltonian that is quadratic in the momenta. The path integral over the momenta is gaussian. Mean…
Motivated by variational models in continuum mechanics, we introduce a novel algorithm to perform nonsmooth and nonconvex minimizations with linear constraints in Euclidean spaces. We show how this algorithm is actually a natural…
The paper examines random dynamical systems related to the classical von Neumann and Gale models of economic growth. Such systems are defined in terms of multivalued operators in spaces of random vectors, possessing certain properties of…
Feynman's path integral approach is studied in the framework of the Wigner-Dunkl deformation of quantum mechanics. We start with reviewing some basics from Dunkl theory and investigate the time evolution of a Gaussian wave packet, which…
We discuss two independent methods of solution of a master equation whose biased jump transition rates account for long jumps of L\'{e}vy-stable type and nonetheless admit a Boltzmannian (thermal) equilibrium to arise in the large time…
Real-time kinodynamic trajectory planning in dynamic environments is critical yet challenging for autonomous driving. In this letter, we propose an efficient trajectory planning system for autonomous driving in complex dynamic scenarios…