Related papers: Linear Programming Estimates for Cesaro and Abel L…
New criteria are established for upper bounds on the number of limit cycles of periodic Abel differential equations having two periodic invariant curves, one of them bounded. The criteria are applied to obtain upper bounds of either zero or…
We consider the problem of maximizing $\langle c,x \rangle$ subject to the constraints $Ax \leq \mathbf{1}$, where $x\in R^n$, $A$ is an $m\times n$ matrix with mutually independent centered subgaussian entries of unit variance, and $c$ is…
This paper introduces a concept of a derivative of the optimal value function in linear programming (LP). Basically, it is the the worst case optimal value of an interval LP problem when the nominal data the data are inflated to intervals…
Constrained partially observable Markov decision processes (CPOMDPs) have been used to model various real-world phenomena. However, they are notoriously difficult to solve to optimality, and there exist only a few approximation methods for…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
For optimal control problems on finite graphs in continuous time, the dynamic programming principle leads to value functions characterized by systems of nonlinear ordinary differential equations. In this paper, we consider the case of…
We provide a framework to analyse control policies for the restless Markovian bandit model, under both finite and infinite time horizon. We show that when the population of arms goes to infinity, the value of the optimal control policy…
We study semi Lagrangian approximation schemes for Hamilton Jacobi Bellman equations arising from finite horizon optimal control problems. Classical error estimates for these schemes include the term $\frac{1}{\Delta t}$ which leads to…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
In this paper we derive a necessary optimality condition for a local optimal solution of some control problems. These optimal control problems are governed by a semi-linear Vettsel boundary value problem of a linear elliptic equation. The…
We present a unified treatment to control problems on an arbitrary time scale by introducing the study of forward-backward optimal control problems. Necessary optimality conditions for delta-nabla isoperimetric problems are proved, and…
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap…
We study L 1 -optimal stabilization of linear systems with finite and infinite horizons. Main results concern the existence, uniqueness and structure of optimal solutions, and the robustness of optimal cost.
Equipping approximate dynamic programming (ADP) with inputconstraints has a tremendous significance. This enables ADP to be applied tothe systems with actuator limitations, which is quite common for dynamicalsystems. In a conventional…
We study an online linear programming (OLP) problem under a random input model in which the columns of the constraint matrix along with the corresponding coefficients in the objective function are generated i.i.d. from an unknown…
In this paper we present explicit bounds for optimal control in a Lagrange problem without end-point constraints. The approach we use is due to Gamkrelidze and is based on the equivalence of the Lagrange problem and a time-optimal problem…
Asadpour, Feige, and Saberi proved that the integrality gap of the configuration LP for the restricted max-min allocation problem is at most $4$. However, their proof does not give a polynomial-time approximation algorithm. A lot of efforts…
We address the problem of computing a control for a time-dependent nonlinear system to reach a target set in a minimal time. To solve this minimal time control problem, we introduce a hierarchy of linear semi-infinite programs, the values…
We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…