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We study the ergodic control problem for a class of jump diffusions in $\mathbb{R}^d$, which are controlled through the drift with bounded controls. The Levy measure is finite, but has no particular structure; it can be anisotropic and…
We introduce a family of hybrid discretisations for the numerical approximation of optimal control problems governed by the equations of immiscible displacement in porous media. The proposed schemes are based on mixed and discontinuous…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
High-precision micromanipulation techniques, including optical tweezers and hydrodynamic trapping, have garnered wide-spread interest. Recent advances in optofluidic multiplexed assembly and microrobotics demonstrate significant progress,…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We present a method for optimal control of systems governed by partial differential equations (PDEs) with uncertain parameter fields. We consider an objective function that involves the mean and variance of the control objective, leading to…
Stochastic optimal control of dynamical systems is a crucial challenge in sequential decision-making. Recently, control-as-inference approaches have had considerable success, providing a viable risk-sensitive framework to address the…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
We present an exactly-solvable risk-minimizing stochastic differential game for flood management in rivers. The streamflow dynamics follow stochastic differential equations driven by a Levy process. An entropic dynamic risk measure is…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
This paper introduces a drift optimization model of stochastic optimization problems driven by regulated stochastic processes. A broad range of problems across operations research, machine learning, and statistics can be viewed as…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
Stochastic gradient methods are the workhorse (algorithms) of large-scale optimization problems in machine learning, signal processing, and other computational sciences and engineering. This paper studies Markov chain gradient descent, a…