Related papers: Equilibrium stochastic control with implicitly def…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We consider joint optimization and learning problems arising in real-time decision systems. While most existing work focuses primarily on convex, revenue-based objectives, we extend this line of research to multi-objective formulations. In…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
The problem of load balancing in a distribution network under unknown time- varying demand and supply is studied. A set of distributed controllers which regulate the amount of flow through the edges is designed to guarantee convergence of…
We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the…
This article presents a new method for computing guaranteed convex and concave relaxations of nonlinear stochastic optimal control problems with final-time expected-value cost functions. This method is motivated by similar methods for…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…
The paper concerns the study of equilibrium points, namely the stationary solutions to the closed loop equation, of an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. Sufficient…
This paper studies the distributed optimization problem with possibly nonidentical local constraints, where its global objective function is composed of $N$ convex functions. The aim is to solve the considered optimization problem in a…
We examine a multi-stage stochastic optimization problem characterized by stagewise-independent, decision-dependent noises with strict constraints. The problem assumes convexity in that, following a specific relaxation, it transforms into a…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
Non-convex optimal control problems occurring in, e.g., water or power systems, typically involve a large number of variables related through nonlinear equality constraints. The ideal goal is to find a globally optimal solution, and…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon $[0,T]$ as $T\rightarrow\infty$. The so-called turnpike properties are established for such problems, under…
In this paper, we address the problem of closed-loop control of nonlinear dynamical systems subjected to probabilistic uncertainties. More precisely, we design time-varying polynomial feedback controllers to follow the given nominal…