Related papers: A sequential estimation problem with control and d…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
Consider the problem on sequential change-point detection on multiple data streams. We provide the asymptotic lower bounds of the detection delays at all levels of change-point sparsity and we derive a smaller asymptotic lower bound of the…
The paper is devoted to deriving necessary optimality conditions in a general optimal control problem for dynamical systems governed by controlled sweeping processes with hard-constrained control actions entering both polyhedral moving sets…
The Error-in-Variables model of system identification/control involves nontrivial input and measurement corruption of observed data, resulting in generically nonconvex optimization problems. This paper performs full-state-feedback…
We investigate the application of a posteriori error estimates to a fractional optimal control problem with pointwise control constraints. Specifically, we address a problem in which the state equation is formulated as an integral form of…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
This work aims to control the dynamics of certain non-Newtonian fluids in a bounded domain of $\mathbb{R}^d$, $d=2,3$ perturbed by a multiplicative Wiener noise, the control acts as a predictable distributed random force, and the goal is to…
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a summary of the forefront asymptotic results established in…
We study a parabolic boundary control problem with one spatial dimension, control constraints of box type, and an objective function that measures the $L^2$-distance to a desired terminal state. It is shown that, for a certain choice of the…
We consider optimal control of a multi-class queue in the Halfin--Whitt regime, and revisit the notion of asymptotic optimality and the associated optimality gaps. The existing results in the literature for such systems provide…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
Bayesian optimization is a popular framework for efficiently tackling black-box search problems. As a rule, these algorithms operate by iteratively choosing what to evaluate next until some predefined budget has been exhausted. We…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We consider the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution. This problem is investigated in a sequential setup under mild assumptions on the underlying random process. The…
In this note, we develop the first-order theory of optimal control problems with box constraints on the control. We emphasize the precise modification of Pontryagin's maximum principle when the admissible control set is compact, the…
We consider an infinite horizon optimal control problem for a pure jump Markov process $X$, taking values in a complete and separable metric space $I$, with noise-free partial observation. The observation process is defined as $Y_t =…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…