Related papers: Resetting in Stochastic Optimal Control
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
Stochastic resetting, the procedure of stopping and re-initializing random processes, has recently emerged as a powerful tool for accelerating processes ranging from queuing systems to molecular simulations. However, its usefulness is…
Recently noticed ability of restart to reduce the expected completion time of first-passage processes allows appealing opportunities for performance improvement in a variety of settings. However, complex stochastic processes often exhibit…
Stochastic resetting is a driving mechanism that is known to minimize the first passage time to reach a target, at the cost of energy expenditure. The choice of the physical implementation of each resetting event determines the tradeoff…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
We consider a sequential decision-making problem where an agent can take one action at a time and each action has a stochastic temporal extent, i.e., a new action cannot be taken until the previous one is finished. Upon completion, the…
Controlling the stochastic dynamics of biological populations is a challenge that arises across various biological contexts. However, these dynamics are inherently nonlinear and involve a discrete state space, i.e., the number of molecules,…
In the context of the ongoing Covid-19 pandemic, several reports and studies have attempted to model and predict the spread of the disease. There is also intense debate about policies for limiting the damage, both to health and to the…
Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
The state of many physical, biological and socio-technical systems evolves by combining smooth local transitions and abrupt resetting events to a set of reference values. The inclusion of the resetting mechanism not only provides the…
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
Robust control of complex engineered and biological systems hinges on the integration of feedforward and feedback mechanisms. This is exemplified in neural motor control, where feedforward muscle co-contraction complements sensory-driven…
We formulate an optimal control problem to determine the lockdown policy to curb an epidemic where other control measures are not available yet. We present a unified framework to model the epidemic and economy that allows us to study the…
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 analyze the efficiency of parallelization and restart mechanisms for stochastic simulations in model-free settings, where the underlying system dynamics are unknown. Such settings are common in Reinforcement Learning (RL) and rare event…