Related papers: Multi-Period Liability Clearing via Convex Optimal…

We study financial networks where banks are connected through bilateral liabilities and may default when resources are insufficient to meet obligations. We consider both the standard proportional clearing model and a priority-proportional…

Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the…

Constrained non-convex optimization problems frequently arise in control applications. Solving such problems is inherently challenging, as existing methods often converge to suboptimal local minima or incur prohibitive computational costs.…

A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…

We consider the freeway network control problem where the aim is to optimize the operation of traffic networks modeled by the Cell Transmission Model via ramp metering and partial mainline demand control. Optimal control problems using the…

We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…

This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…

This paper studies the problem of steering a linear time-invariant system subject to state and input constraints towards a goal location that may be inferred only through partial observations. We assume mixed-observable settings, where the…

Separable convex optimization problems with linear ascending inequality and equality constraints are addressed in this paper. Under an ordering condition on the slopes of the functions at the origin, an algorithm that determines the optimum…

We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…

A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…

We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…

In this paper, we consider the problem of multi-objective optimal control of a dynamical system with additive and multiplicative noises with given second moments and arbitrary probability distributions. The objectives are given by quadratic…

We consider the problem of planning the aggregate energy consumption for a set of thermostatically controlled loads for demand response, accounting price forecast trajectory and thermal comfort constraints. We address this as a…

We provide theoretical foundations and computational tools for the systematic design of optimization-based control laws with constraints that have different priorities. By introducing the concept of prioritized intersections, we extend and…

This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…

In this paper, the problem of finite horizon inverse optimal control (IOC) is investigated, where the quadratic cost function of a dynamic process is required to be recovered based on the observation of optimal control sequences. We propose…

We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…

Control of complex systems involves both system identification and controller design. Deep neural networks have proven to be successful in many identification tasks, however, from model-based control perspective, these networks are…

Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…