Related papers: Well-posedness of behavioral singular stochastic c…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
The paper investigates stochastic resource allocation problems with scarce, reusable resources and non-preemtive, time-dependent, interconnected tasks. This approach is a natural generalization of several standard resource management…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
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…
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that the optimization problem reduces to solving a variational…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the coefficients comes from two aspects: the Brownian motion and…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
Today's cloud infrastructure landscape offers a broad range of services to build and operate software applications. The myriad of options, however, has also brought along a new layer of complexity. When it comes to procuring cloud computing…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
This paper examines a class of singular stochastic control problems with convex objective functions. In Section 2, we use tools from convex analysis to derive necessary and sufficient first order conditions for this class of optimisation…
Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using value function…
In this paper, we investigate the control of a cyber-physical system (CPS) while accounting for its vulnerability to external attacks. We formulate a constrained stochastic problem with a robust constraint to ensure robust operation against…
Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…
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…