Related papers: The one-shot problem: Solution to an open question…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We solve a problem of singular stochastic control with discretionary stopping, suggested as an interesting open problem by Karatzas, Ocone, Wang and Zervos (2000), by providing suitable candidates for the moving boundaries in an unsolved…
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
We will investigate the value and inactive region of optimal stopping and one-sided singular control problems by focusing on two fundamental ratios. We shall see that these ratios unambiguously characterize the solution, although usually…
In this paper, we consider coordinated control of feeder vehicles for first and last mode transportation. The model is macroscopic with volumes of demands and supplies along with flows of vehicles. We propose a one-shot problem for…
In this article we study optimal control problems for systems that are affine in one part of the control variable. Finitely many equality and inequality constraints on the initial and final values of the state are considered. We investigate…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…
The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…
This paper addresses a fuel-constrained, autonomous vehicle path planning problem in the presence of multiple refueling stations. We are given a set of targets, a set of refueling stations, and a depot where $m$ vehicles are stationed. The…
In this paper, we consider a domestic standalone microgrid equipped with local renewable energy generation such as photovoltaic panels, consumption units, and battery storage to balance supply and demand and investigate the stochastic…
Method-of-lines discretizations are demanding test problems for stiff integration methods. However, for PDE problems with known analytic solution the presence of space discretization errors or the need to use codes to compute reference…
The single-step one-shot method has proven to be very efficient for PDE-constrained optimization where the partial differential equation (PDE) is solved by an iterative fixed point solver. In this approach, the simulation and optimization…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
Traveling localized spots represent an important class of self-organized two-dimensional patterns in reaction-diffusion systems. We study open-loop control intended to guide a stable spot along a desired trajectory with desired velocity.…
This article solves an optimal control problem arising in attitude control of a spacecraft under state and control constraints. We first derive the discrete-time attitude dynamics by employing discrete mechanics. The orientation transfer,…
A finite element analysis of a Dirichlet boundary control problem governed by the linear parabolic equation is presented in this article. The Dirichlet control is considered in a closed and convex subset of the energy space $H^1(\Omega…