Related papers: Averaged observations and turnpike phenomenon for …
We study continuity and robustness properties of infinite-horizon average expected cost problems with respect to (controlled) transition kernels, and applications of these results to the problem of robustness of control policies designed…
We study the entropic regularizations of optimal transport problems under suitable summability assumptions on the point-wise transport cost. These summability assumptions already appear in the literature. However, we show that the weakest…
This work focuses on off-policy evaluation (OPE) with function approximation in infinite-horizon undiscounted Markov decision processes (MDPs). For MDPs that are ergodic and linear (i.e. where rewards and dynamics are linear in some known…
We examine a class of stochastic differential inclusions involving multiscale effects designed to solve a class of generalized variational inequalities. This class of problems contains constrained convex non-smooth optimization problems,…
A novel approach to solve the problem of distributed state estimation of linear time-invariant systems is proposed in this paper. It relies on the application of parameter estimation-based observers, where the state observation task is…
The paper extends an impulsive control-theoretical framework towards dynamic systems in the space of measures. We consider a transport equation describing the time-evolution of a conservative "mass" (probability measure), which represents…
Interaction between vehicles and pedestrians is seen in many areas such as crosswalks and intersections. In this paper, we study a totally asymmetric simple exclusion process with a bottleneck at a boundary caused by an interaction. Due to…
We consider Markov decision processes where the state of the chain is only given at chosen observation times and of a cost. Optimal strategies involve the optimisation of observation times as well as the subsequent action values. We…
A new method of deriving comparative statics information using generalized compensated derivatives is presented which yields constraint-free semidefiniteness results for any differentiable, constrained optimization problem. More generally,…
We apply the averaging method to a coupled system consisting of two evolution equations which has a slow component driven by fractional Brownian motion (FBM) with the Hurst parameter $H_1> \frac12$ and a fast component driven by additive…
Motivated by the applications, a class of optimal control problems is investigated, where the goal is to influence the behavior of a given population through another controlled one interacting with the first. Diffusive terms accounting for…
This work examines the optimal covariance steering problem for systems subject to unknown parameters that enter multiplicatively with the state and control, in addition to additive disturbances. In contrast to existing works, the unknown…
In this paper we examine a mutual control problem for systems of two abstract evolution equations subject to a proportionality final condition. Related observability and semi-observability problems are discussed. The analysis employs a…
A dynamical model of an ecological community is analyzed within a "mean-field approximation" in which one of the species interacts with the combination of all of the other species in the community. Within this approximation the model may be…
In recent papers it has been suggested that human locomotion may be modeled as an inverse optimal control problem. In this paradigm, the trajectories are assumed to be solutions of an optimal control problem that has to be determined. We…
A self-learning approach for optimal feedback gains for finite-horizon nonlinear continuous time control systems is proposed and analysed. It relies on parameter dependent approximations to the optimal value function obtained from a family…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global…
We establish a polynomial turnpike estimate for an optimal control problem consisting of a system of infinitely many controlled oscillators, considered as an abstract differential equation in a Hilbert space, with a quadratic cost. Our…
The Peaks-Over Threshold is a fundamental method in the estimation of rare events such as small exceedance probabilities, extreme quantiles and return periods. The main problem with the Peaks-Over Threshold method relates to the selection…