Related papers: From Time-inconsistency to Time-consistency for Op…
This paper introduces a new framework for analyzing the stability of discrete-time model predictive controllers acting on continuous-time systems. The proposed framework introduces the distinction between discretization time (used to…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
Features in machine learning problems are often time-varying and may be related to outputs in an algebraic or dynamical manner. The dynamic nature of these machine learning problems renders current higher order accelerated gradient descent…
This paper considers the problem of controlling a piecewise continuously differentiable system subject to time-varying uncertainties. The uncertainties are decomposed into a time-invariant, linearly-parameterized portion and a time-varying…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
The role of specific cognitive processes in deviations from constant discounting in intertemporal choice is not well understood. We evaluated decreased impatience in intertemporal choice tasks independent of discounting rate and…
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times…
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
Timing decisions are common: when to file your taxes, finish a referee report, or complete a task at work. We ask whether time preferences can be inferred when \textsl{only} task completion is observed. To answer this question, we analyze…
This paper studies a class of strongly monotone games involving non-cooperative agents that optimize their own time-varying cost functions. We assume that the agents can observe other agents' historical actions and choose actions that best…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
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…
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
Preferences play a key role in determining what goals/constraints to satisfy when not all constraints can be satisfied simultaneously. In this work, we study preference-based planning in a stochastic system modeled as a Markov decision…
Time-inconsistency refers to a paradox in decision making where agents exhibit inconsistent behaviors over time. Examples are procrastination where agents tends to costly postpone easy tasks, and abandonments where agents start a plan and…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…