Related papers: SCOP: Schrodinger Control Optimal Planning for Goa…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
The retirement funding problem addresses the question of how to manage a retiree's savings to provide her with a constant post-tax inflation adjusted consumption throughout her lifetime. This consists of choosing withdrawals and transfers…
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This…
Derivative based optimization methods are efficient at solving optimal control problems near local optima. However, their ability to converge halts when derivative information vanishes. The inference approach to optimal control does not…
Optimal control problems for semilinear elliptic equations with control costs in the space of bounded variations are analysed. BV-based optimal controls favor piecewise constant, and hence 'simple' controls, with few jumps. Existence of…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
This paper concerns an optimal control problem $(P)$ related to a nonlinear Fokker-Planck equation. The problem is deeply related to a stochastic optimal control problem $(P_S)$ for a McKean-Vlasov equation. The existence of an optimal…
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…
We study the optimization of the expected long-term reward in finite partially observable Markov decision processes over the set of stationary stochastic policies. In the case of deterministic observations, also known as state aggregation,…
In this paper, we present efficient quantum algorithms that are exponentially faster than classical algorithms for solving the quantum optimal control problem. This problem involves finding the control variable that maximizes a physical…
Optimal control theory is a powerful tool for solving control problems in quantum mechanics, ranging from the control of chemical reactions to the implementation of gates in a quantum computer. Gradient-based optimization methods are able…
This paper builds a core-satellite model of semi-static Kelly betting and log-optimal investment. We study the problem of a saver whose core portfolio consists in unlevered (1x) retirement plans with no access to margin debt. However, the…
This paper extends the optimal covariance steering problem for linear stochastic systems subject to chance constraints to account for optimal risk allocation. Previous works have assumed a uniform risk allocation to cast the optimal control…
In many applications, and in systems/synthetic biology, in particular, it is desirable to compute control policies that force the trajectory of a bistable system from one equilibrium (the initial point) to another equilibrium (the target…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
We introduce the \emph{submodular objectives chasing problem}, which generalizes many natural and previously-studied problems: a sequence of constrained submodular maximization problems is revealed over time, with both the objective and…
We consider the problem of numerically solving the Schr\"odinger equation with a potential that is quasi periodic in space and time. We introduce a numerical scheme based on a newly developed multi-time scale and averaging technique. We…
We consider the holder of an individual tontine retirement account, with maximum and minimum withdrawal amounts (per year) specified. The tontine account holder initiates the account at age 65, and earns mortality credits while alive, but…
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal…