Related papers: The Principle of Optimality in Dynamic Programming…
In this paper we investigate possible approaches to study general time-inconsistent optimization problems without assuming the existence of optimal strategy. This leads immediately to the need to refine the concept of time-consistency as…
Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…
A robust-to-dynamics optimization (RDO) problem is an optimization problem specified by two pieces of input: (i) a mathematical program (an objective function $f:\mathbb{R}^n\rightarrow\mathbb{R}$ and a feasible set…
This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of the theory by relaxing compactness and boundedness…
In this paper the problem of optimal performance of a power system is considered. The problem is posed in various aspects within the frames of the theory of optimal control of stores. Mathematical models are presented by means of the…
In this brief paper, we provide a mathematical framework that exploits the relationship between the maximum principle and dynamic programming for characterizing optimal learning trajectories in a class of learning problem, which is related…
The article is devoted to the problem of applying the maximum principle for finding optimal control parameters in simulation tasks of interest for a variety of engineering and industrial systems and processes. Especially important is the…
This paper describes valuation-based systems for representing and solving discrete optimization problems. In valuation-based systems, we represent information in an optimization problem using variables, sample spaces of variables, a set of…
We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat…
This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by stochastic evolution equations with random coefficients in…
Real-time computation of optimal control is a challenging problem and, to solve this difficulty, many frameworks proposed to use learning techniques to learn (possibly sub-optimal) controllers and enable their usage in an online fashion.…
This paper aims to study the relationship between the maximum principle and the dynamic programming principle for recursive optimal control problem of stochastic evolution equations, where the control domain is not necessarily convex and…
In the article Positive Dynamic Programming, David Blackwell tries to answer the question concerning the existence of optimal stationary strategies for a positive dynamic programming problem. The principal results obtained in the paper are…
Dynamic programming is a mathematical optimization method and a computer programming method as well. In this paper, the notion of sheaf programming in topological spaces is introduced and it is demonstrated that it relates very well to the…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
In this paper, we study a stochastic optimal control problem under degenerate G-expectation. By using implied partition method, we show that the approximation result for admissible controls still hold. Based on this result, we prove that…
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal…
A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…