Related papers: Optimal Stopping Under Model Uncertainty in a Gene…
Discrete-time robust optimal control problems generally take a min-max structure over continuous variable spaces, which can be difficult to solve in practice. In this paper, we extend the class of such problems that can be solved through a…
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…
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we…
In this paper, we study an optimal exit time problem with general running and terminal costs and a target $\mathcal{S}\subset\mathbb{R}^d$ having an inner ball property for a nonlinear control system that satisfies mild controllability…
This paper deals with the convergence time analysis of a class of fixed-time stable systems with the aim to provide a new non-conservative upper bound for its settling time. Our contribution is fourfold. First, we revisit the well-known…
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale…
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…
Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal…
This paper presents a time-optimal Model Predictive Control (MPC) scheme for linear discrete-time systems subject to multiplicative uncertainties represented by interval matrices. To render the uncertainty propagation computationally…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
This note considers a variation of the full-information secretary problem where the random variables to be observed are independent and identically distributed. Consider $X_1,\dots,X_n$ to be an independent sequence of random variables, let…
In this paper, we develop a novel contraction framework for stability analysis of discrete-time nonlinear systems with parameters following stochastic processes. For general stochastic processes, we first provide a sufficient condition for…
This paper is concerned with the problem of robust reliable control for a class of uncertain 2D discrete switched systems with state delays represented by a model of Roesser type. The parameter uncertainties are assumed to be norm-bounded.…
This technical note studies Lyapunov-like conditions to ensure a class of dynamical systems to exhibit predefined-time stability. The origin of a dynamical system is predefined-time stable if it is fixed-time stable and an upper bound of…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
We generalize a Maximum Principle for optimal control problems involving sweeping systems previously derived in ``Necessary conditions for optimal control problems with sweeping systems and end point constraints'', by de Pinho, Ferreira and…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
This paper considers a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the main approach that has been used to construct explicit…
We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the…