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We develop a decomposition algorithm for distributionally-robust two-stage stochastic mixed-integer convex cone programs, and its important special case of distributionally-robust two-stage stochastic mixed-integer second order cone…
In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
We provide a new dynamic approach to scenario generation for the purposes of risk management in the banking industry. We connect ideas from conventional techniques -- like historical and Monte Carlo simulation -- and we come up with a…
In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…
Discrete time stochastic optimal control problems and Markov decision processes (MDPs), respectively, serve as fundamental models for problems that involve sequential decision making under uncertainty and as such constitute the theoretical…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
Many real-world control systems, such as the smart grid and human sensorimotor control systems, have decentralized components that react quickly using local information and centralized components that react slowly using a more global view.…
Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using value function…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
In control and engineering community, models generally contain a number of parameters which are unknown or roughly known. A complete knowledge of these parameters is critical to describe and analyze the dynamics of the system. This paper…
Numerical algorithms for solving problems of mathematical physics on modern parallel computers employ various domain decomposition techniques. Domain decomposition schemes are developed here to solve numerically initial/boundary value…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
This paper concerns models and convergence principles for dealing with stochasticity in a wide range of algorithms arising in nonlinear analysis and optimization in Hilbert spaces. It proposes a flexible geometric framework within which…
This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The…
This paper derives recursion equations for a robust smoothing problem for a class of nonlinear systems with uncertainties in modeling and exogenous noise sources. The systems considered operate in discrete-time and the uncertainties are…
Model predictive control offers a powerful framework for managing constrained systems, but its repeated online optimization can become computationally prohibitive. Multiparametric programming addresses this challenge by precomputing optimal…