Related papers: Extension of Switch Point Algorithm to Boundary-Va…

We consider the setup of stochastic multi-armed bandits in the case when reward distributions are piecewise i.i.d. and bounded with unknown changepoints. We focus on the case when changes happen simultaneously on all arms, and in stark…

This paper proposes the problem of point-and-count as a test case to break the what-and-where deadlock. Different from the traditional detection problem, the goal is to discover key salient points as a way to localize and count the number…

We consider Tikhonov regularization of control-constrained optimal control problems. We present new a-priori estimates for the regularization error assuming measure and source-measure conditions. In the special case of bang-bang solutions,…

We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is equivalent to stopping a Brownian bridge pinned at a random…

We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…

Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…

We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…

This paper considers the problem of adapting a predesigned policy, represented by a parameterized function class, from a solution that minimizes a given original cost function to a trade-off solution between minimizing the original…

We establish essentially optimal bounds on the complexity of initial-value problems in the randomized and quantum settings. For this purpose we define a sequence of new algorithms whose error/cost properties improve from step to step. These…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

This paper studies the differentiability of the value function of switched linear systems under arbitrary switching and controlled switching, referred to as worst-case and optimal value functions respectively. First, we show that the value…

In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…

In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…

The naive application of Reinforcement Learning algorithms to continuous control problems -- such as locomotion and manipulation -- often results in policies which rely on high-amplitude, high-frequency control signals, known colloquially…

A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…

In this paper, Lipschitz univariate constrained global optimization problems where both the objective function and constraints can be multiextremal are considered. The constrained problem is reduced to a discontinuous unconstrained problem…

We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…

This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…

In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…

This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…