Related papers: On Linear Threshold Policies for Continuous-Time D…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
This note re-visits the rolling-horizon control approach to the problem of a Markov decision process (MDP) with infinite-horizon discounted expected reward criterion. Distinguished from the classical value-iteration approach, we develop an…
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamics has been elusive. This paper proposes proximal gradient…
This paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage…
We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
The infinite horizon setting is widely adopted for problems of reinforcement learning (RL). These invariably result in stationary policies that are optimal. In many situations, finite horizon control problems are of interest and for such…
Energy storage scheduling problems, where a storage is operated to maximize its profit in response to a price signal, are essentially infinite-horizon optimization problems as storage systems operate continuously, without a foreseen end to…
The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of…
In this paper, we develop a provably correct optimal control strategy for a finite deterministic transition system. By assuming that penalties with known probabilities of occurrence and dynamics can be sensed locally at the states of the…
We consider a risk-sensitive continuous-time Markov decision process over a finite time duration. Under the conditions that can be satisfied by unbounded transition and cost rates, we show the existence of an optimal policy, and the…
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given deadline, with the objective of minimizing the…
In this paper we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, Ball and Queyranne (2009) have…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…
Assemble-to-order approaches deal with randomness in demand for end items by producing components under uncertainty, but assembling them only after demand is observed. Such planning problems can be tackled by stochastic programming, but…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
We consider the synthesis problem of a multi-agent system under signal temporal logic (STL) specifications representing bounded-time tasks that need to be satisfied recurrently over an infinite horizon. Motivated by the limited approaches…
A broad range of nonlinear processes over networks are governed by threshold dynamics. So far, existing mathematical theory characterizing the behavior of such systems has largely been concerned with the case where the thresholds are…