Related papers: Averaged observations and turnpike phenomenon for …
The concept of turnpike connects the solution of long but finite time horizon optimal control problems with steady state optimal controls. A key ingredient of the analysis of the turnpike is the linear quadratic regulator problem and the…
Many causal parameters depend on a moment of the joint distribution of potential outcomes. Such parameters are especially relevant in policy evaluation settings, where noncompliance is common and accommodated through the model of Imbens &…
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper…
We present a new proof of the turnpike property for nonlinear optimal control problems, when the running target is a steady control-state pair of the underlying system. Our strategy combines the construction of quasi-turnpike controls via…
Considering a general nonlinear dissipative finite dimensional optimal control problem in fixed time horizon T , we establish a two-term asymptotic expansion of the value function as $T\rightarrow+\infty$. The dominating term is T times the…
We study the asymptotic behavior of solutions to the second boundary value problem for a parabolic PDE of Monge-Amp\`ere type arising from optimal mass transport. Our main result is an exponential rate of convergence for solutions of this…
We establish the turnpike property for linear quadratic control problems for which the control operator is admissible and may be unbounded, under quite general and natural assumptions. The turnpike property has been well studied for bounded…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
For a class of path-dependent stochastic evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. In this infinite-dimensional control…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
Turnpike phenomena of nonlinear port-Hamiltonian descriptor systems under minimal energy supply are studied. Under assumptions on the smoothness of the system nonlinearities, it is shown that the optimal control problem is dissipative with…
A function of the empirical characteristic function,exists for the stable distribution, which leads to a linear regression and can be used to estimate the parameters. Two approaches are often used, one to find optimal values of t, but these…
Optimal control problems with a very large time horizon can be tackled with the Receding Horizon Control (RHC) method, which consists in solving a sequence of optimal control problems with small prediction horizon. The main result of this…
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…
Computational level explanations based on optimal feedback control with signal-dependent noise have been able to account for a vast array of phenomena in human sensorimotor behavior. However, commonly a cost function needs to be assumed for…
This paper studies optimal control under the average-reward/cost criterion for deterministic linear systems. We derive the value function and optimal policy, and propose an approximate solution using Model Predictive Control to enable…
In this article we show how ideas, methods and results from optimal transportation can be used to study various aspects of the stationary measuresof Iterated Function Systems equipped with a probability distribution. We recover a classical…
Consider a general nonlinear optimal control problem in finite dimension, with constant state and/or control delays. By the Pontryagin Maximum Principle, any optimal trajectory is the projection of a Pontryagin extremal. We establish that,…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…