Related papers: Multi-Period Liability Clearing via Convex Optimal…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
This paper presents a Successive Convexification ($ \texttt{SCvx} $) algorithm to solve a class of non-convex optimal control problems with certain types of state constraints. Sources of non-convexity may include nonlinear dynamics and…
The debts' clearing problem is about clearing all the debts in a group of n entities (persons, companies etc.) using a minimal number of money transaction operations. The problem is known to be NP-hard in the strong sense. As for many…
We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose both the starting time of the reinsurance contract and the…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
Time-optimal control of a multi-rotor remains an open problem due to the under-actuation and nonlinearity of its dynamics, which make it difficult to solve this problem directly. In this paper, the time-optimal control problem of the…
We study the following optimization problem over a dynamical system that consists of several linear subsystems: Given a finite set of $n\times n$ matrices and an $n$-dimensional vector, find a sequence of $K$ matrices, each chosen from the…
Consider a finite ground set $E$, a set of feasible solutions $X \subseteq \mathbb{R}^{E}$, and a class of objective functions $\mathcal{C}$ defined on $X$. We are interested in subsets $S$ of $E$ that control $X$ in the sense that we can…
We introduce a new convexified matching method for missing value imputation and individualized inference inspired by computational optimal transport. Our method integrates favorable features from mainstream imputation approaches: optimal…
In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a…
In this paper, we propose two algorithms for solving convex optimization problems with linear ascending constraints. When the objective function is separable, we propose a dual method which terminates in a finite number of iterations. In…
The debts' clearing problem is about clearing all the debts in a group of $n$ entities (e.g. persons, companies) using a minimal number of money transaction operations. In our previous works we studied the problem, gave a dynamic…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
In this paper, a novel distributed optimization framework has been proposed. The key idea is to convert optimization problems into optimal control problems where the objective of each agent is to design the current control input minimizing…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
We consider convex optimization problems with prioritized equality constraints, which may be infeasible. In many applications, such as network optimization and image reconstruction, it is often desirable to compute solutions that satisfy…
We would like to study the solution stability of a parametric control problem governed by semilinear elliptic equations with a mixed state-control constraint, where the cost function is nonconvex and the admissible set is unbounded. The…
We consider the problem of controlling an unknown linear dynamical system under a stochastic convex cost and full feedback of both the state and cost function. We present a computationally efficient algorithm that attains an optimal…