Related papers: From Time-inconsistency to Time-consistency for Op…
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
Solving an output consensus problem in multi-agent systems is often hindered by multiple time-variant delays. To address such fundamental problems over time, we present a new optimal time-variant distributed control for linearly perturbed…
We are interested in the optimal filter in a continuous time setting. We want to show that the optimal filter is stable with respect to its initial condition. We reduce the problem to a discrete time setting and apply truncation techniques…
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…
We study the continuity properties of optimal solutions to stochastic control problems with respect to initial probability measures and applications of these to the robustness of optimal control policies applied to systems with incomplete…
To make informed decisions in natural environments that change over time, humans must update their beliefs as new observations are gathered. Studies exploring human inference as a dynamical process that unfolds in time have focused on…
This paper brings together divergent approaches to time inconsistency from macroeconomic policy and behavioural economics. Behavioural discount functions from behavioural microeconomics are embedded into a game-theoretic analysis of…
Verification of temporal logic properties plays a crucial role in proving the desired behaviors of continuous systems. In this paper, we propose an interval method that verifies the properties described by a bounded signal temporal logic.…
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…
Classical deterministic optimal control problems assume full information about the controlled process. The theory of control for general partially-observable processes is powerful, but the methods are computationally expensive and typically…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
People tend to behave inconsistently over time due to an inherent present bias. As this may impair performance, social and economic settings need to be adapted accordingly. Common tools to reduce the impact of time-inconsistent behavior are…
This paper investigates the relations between three different properties, which are of importance in optimal control problems: dissipativity of the underlying dynamics with respect to a specific supply rate, optimal operation at steady…
We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…
Suppose an online platform wants to compare a treatment and control policy, e.g., two different matching algorithms in a ridesharing system, or two different inventory management algorithms in an online retail site. Standard randomized…