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We investigate an optimal control problem motivated by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an unknown parameter. Given a prior distribution for the unknown parameter, we…
We consider approximate dynamic programming for the infinite-horizon stationary $\gamma$-discounted optimal control problem formalized by Markov Decision Processes. While in the exact case it is known that there always exists an optimal…
We try to justify rigorously, using a Wong-Zakai approximation argument, the susceptible-infected-susceptible (SIS) stochastic differential equation proposed in [2]. We discover that according to this approach the "right" stochastic model…
In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…
In this paper, we consider an adaptive optimal control problem for an SIR/V epidemic model with human behavioral effects.We develop a model where effective management of infectious diseases are monitored by the means of non pharmaceutical…
We study the problem of optimal control of the stochastic SIR model. Models of this type are used in mathematical epidemiology to capture the time evolution of highly infectious diseases such as COVID-19. Our approach relies on…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
We consider the discrete time infinite horizon average reward restless markovian bandit (RMAB) problem. We propose a \emph{model predictive control} based non-stationary policy with a rolling computational horizon $\tau$. At each time-slot,…
In this paper, we propose a novel computational method for solving non-linear optimal control problems. The method is based on the use of Fourier--Hermite series for approximating the action-value function arising in dynamic programming…
We investigate the problem of persistent monitoring, where a mobile agent has to survey multiple targets in an environment in order to estimate their internal states. These internal states evolve with linear stochastic dynamics and the…
In this paper, we study the dynamics of epidemic processes taking place in adaptive networks of arbitrary topology. We focus our study on the adaptive susceptible-infected-susceptible (ASIS) model, where healthy individuals are allowed to…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
In this paper, we consider the problem of optimizing the worst-case behavior of a partially observed system. All uncontrolled disturbances are modeled as finite-valued uncertain variables. Using the theory of cost distributions, we present…
Some recent works reveal that there are models of differential equations for the mean and variance of infected individuals that reproduce the SIS epidemic model at some point. This stochastic SIS epidemic model can be interpreted as a…
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel…
The goal of this paper is to investigate new and simple convergence analysis of dynamic programming for linear quadratic regulator problem of discrete-time linear time-invariant systems. In particular, bounds on errors are given in terms of…
An actively controlled Susceptible-Infected-Susceptible (actSIS) contagion model is presented for studying epidemic dynamics with continuous-time feedback control of infection rates. Our work is inspired by the observation that epidemics…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
In this paper, we analyze the infection spreading dynamics of malware in a population of cyber nodes (i.e., computers or devices). Unlike most prior studies where nodes are reactive to infections, in our setting some nodes are active…
We aim at characterizing the asymptotic behavior of value functions in the control of piece-wise deterministic Markov processes (PDMP) of switch type under nonexpansive assumptions. For a particular class of processes inspired by temperate…