Related papers: Equilibrium transport with time-inconsistent costs
Accurate forecasting of bus travel time and its uncertainty is critical to service quality and operation of transit systems; for example, it can help passengers make better decisions on departure time, route choice, and even transport mode…
We prove the Duality Theorems for the stochastic optimal transportation problems with a convex cost function without a regularity assumption that is often supposed in the proof of the lower semicontinuity of an action integral. In our new…
This paper presents novel method for distribution-free robust trajectory optimization and control of discrete-time, nonlinear, and non-Gaussian stochastic systems, with closed-loop guarantees on chance constraint satisfaction. Our framework…
We introduce a new non-linear optimal transport formulation for a pair of probability measures on $\mathbb{R}^d$ sharing a common barycentre, in which admissible transference plans satisfy two martingale-type constraints. This bi-martingale…
We consider a Markovian load balancing model on a fully-connected network, where calls have Poisson arrivals and exponential durations. The endpoints of each call are uniform over all the links of the network. Each call is routed either…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
We present a discretization of the dynamic optimal transport problem for which we can obtain the convergence rate for the value of the transport cost to its continuous value when the temporal and spatial stepsize vanish. This convergence…
Weak optimal transport generalizes the classical theory of optimal transportation to nonlinear cost functions and covers a range of problems that lie beyond the traditional theory - including entropic transport, martingale transport, and…
We investigate the transportation cost-information inequalities for bifurcating Markov chains which are a class of processes indexed by binary tree. These processes provide models for cell growth when each individual in one generation gives…
Recent studies on transportation networks have shown that real-time route guidance can inadvertently induce congestion or oscillatory traffic patterns. Nevertheless, such technologies also offer a promising opportunity to manage traffic…
This paper considers the equilibrium-free stability and performance analysis of discrete-time nonlinear systems. We consider two types of equilibrium-free notions. Namely, the universal shifted concept, which considers stability and…
We address stability of a class of Markovian discrete-time stochastic hybrid systems. This class of systems is characterized by the state-space of the system being partitioned into a safe or target set and its exterior, and the dynamics of…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…
We have derived a variational principle that defines the nonequilibrium steady-state transport across a correlated impurity mimicking, e.g., a quantum dot coupled to biased leads. This variational principle has been specialized to a…
We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Subsequently, we consider the barycenter problem for…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
We propose a new dynamics for equilibrium selection of finite player discrete strategy games. The dynamics is motivated by optimal transportation, and models individual players' myopicity, greedy and uncertainty when making decisions. The…