Related papers: Optimal Equilibria for Multi-dimensional Time-inco…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
In many practical sequential decision-making problems, tracking the state of the environment incurs a sensing/communication/computation cost. In these settings, the agent's interaction with its environment includes the additional component…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quantization of the post jump location---inter-arrival time Markov…
We consider linear model reduction in both the control and state variables for unconstrained linear-quadratic optimal control problems subject to time-varying parabolic PDEs. The first-order optimality condition for a state-space reduced…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
The objective in this paper is to obtain fast converging reinforcement learning algorithms to approximate solutions to the problem of discounted cost optimal stopping in an irreducible, uniformly ergodic Markov chain, evolving on a compact…
This paper deals with unconstrained discounted continuous-time Markov decision processes in Borel state and action spaces. Under some conditions imposed on the primitives, allowing unbounded transition rates and unbounded (from both above…
This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances. Necessary and sufficient conditions for output agreement are derived for the class of incrementally passive…
This paper considers the problem of regulating a dynamical system to equilibria that are defined as solutions of an input- and state-constrained optimization problem. To solve this regulation task, we design a state feedback controller…
Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences in a discrete-time setting. Motivating examples are nonlinear objectives, state-dependent costs, and regularized…
This paper addresses the problem of robust and optimal control for the class of nonlinear quadratic systems subject to norm-bounded parametric uncertainties and disturbances, and in presence of some amplitude constraints on the control…
We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…
We consider a hidden Markov model with multiple observation processes, one of which is chosen at each point in time by a policy---a deterministic function of the information state---and attempt to determine which policy minimises the…
In this technical note, we establish an upper-bound on the threshold on the discount factor starting from which all discounted-optimal deterministic policies are gain-optimal, that we prove to be tight on an example. To address…
We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate and independent of the underlying dynamics. Our main tool is…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
This paper is interested in the problem of optimal stopping in a mean field game context. The notion of mixed solution is introduced to solve the system of partial differential equations which models this kind of problem. This notion…
In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function.…