Related papers: Optimal Equilibria for Multi-dimensional Time-inco…

In this paper, we focus on formal synthesis of control policies for finite Markov decision processes with non-negative real-valued costs. We develop an algorithm to automatically generate a policy that guarantees the satisfaction of a…

We study the problem of synthesizing a policy that maximizes the entropy of a Markov decision process (MDP) subject to a temporal logic constraint. Such a policy minimizes the predictability of the paths it generates, or dually, maximizes…

We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum…

Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…

We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…

Sequential decision making under uncertainty is studied in a mixed observability domain. The goal is to maximize the amount of information obtained on a partially observable stochastic process under constraints imposed by a fully observable…

We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…

We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…

In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…

There are two main challenges in control of hybrid systems which are to guarantee the closed-loop stability and reduce computational complexity. In this paper, we propose the exponential stability conditions of hybrid systems which are…

We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…

In distributed model predictive control (DMPC), where a centralized optimization problem is solved in distributed fashion using dual decomposition, it is important to keep the number of iterations in the solution algorithm, i.e. the amount…

Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such computations are based on regression, a method that suffers from…

This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…

Understanding neural dynamics is a central topic in machine learning, non-linear physics and neuroscience. However, the dynamics is non-linear, stochastic and particularly non-gradient, i.e., the driving force can not be written as gradient…

We study Markov decision problems where the agent does not know the transition probability function mapping current states and actions to future states. The agent has a prior belief over a set of possible transition functions and updates…

In this technical note, we investigate an optimal output consensus problem for heterogeneous uncertain nonlinear multi-agent systems. The considered agents are described by high-order nonlinear dynamics subject to both static and dynamic…

We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…

Stop-loss rules are often studied in the financial literature, but the stop-loss levels are seldom constructed systematically. In many papers, and indeed in practice as well, the level of the stops is too often set arbitrarily. Guided by…

Heavy traffic analysis for load balancing policies has relied heavily on the condition of state-space collapse onto a single-dimensional line in previous works. In this paper, via Lyapunov-drift analysis, we rigorously prove that even under…