Related papers: Multi-Period Liability Clearing via Convex Optimal…
This paper discusses the problem of assembly line control and introduces an optimal control formulation that can be used to improve the performance of the assembly line, in terms of cycle time minimization, resources' utilization, etc. A…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
We consider the problem of designing a smooth trajectory that traverses a sequence of convex sets in minimum time, while satisfying given velocity and acceleration constraints. This problem is naturally formulated as a nonconvex program. To…
The paper considers the minimization of a separable convex function subject to linear ascending constraints. The problem arises as the core optimization in several resource allocation scenarios, and is a special case of an optimization of a…
We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order the investor is subject to execution risk. We study the…
We introduce the convex combinatorial optimization problem, a far reaching generalization of the standard linear combinatorial optimization problem. We show that it is strongly polynomial time solvable over any edge-guaranteed family, and…
We consider a finite-horizon linear-quadratic optimal control problem where only a limited number of control messages are allowed for sending from the controller to the actuator. To restrict the number of control actions computed and…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper details an approach to linearise differentiable but non-convex collision avoidance constraints tailored to convex shapes. It revisits introducing differential collision avoidance constraints for convex objects into an optimal…
Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision…
In this paper we study a problem of looking for an optimal solution of a system of the differential equations with a control and an optimized function. The system of differential equations is changed for two systems with the upper and lower…
We propose an algorithm that produces a non-decreasing sequence of subsolutions for a class of optimal control problems distinguished by the property that the associated Bellman operators preserve convexity. In addition to a theoretical…
Optimization problems with convex quadratic cost and polyhedral constraints are ubiquitous in signal processing, automatic control and decision-making. We consider here an enlarged problem class that allows to encode logical conditions and…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
Motivated by the emergence of decentralized machine learning (ML) ecosystems, we study the delegation of data collection. Taking the field of contract theory as our starting point, we design optimal and near-optimal contracts that deal with…
We discuss the multilevel control problem for linear dynamical systems, consisting in designing a piece-wise constant control function taking values in a finite-dimensional set. In particular, we provide a complete characterization of…
We deal with the convergence of the value function of an approximate control problem with uncertain dynamics to the value function of a nonlinear optimal control problem. The assumptions on the dynamics and the costs are rather general and…