Related papers: Singular Control in Inventory Management with Smoo…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
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…
The Koopman operator enables simplified representations for nonlinear systems in data-driven optimal control, but the accompanying uncertainties inevitably induce deviations in the optimal controller and associated value function. This…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
Stability analysis of the Kalman filter under randomly lost measurements has been widely studied. We revisit this problem in a general continuous-time framework, where both the measurement matrix and noise covariance evolve as random…
This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…
This paper derives an optimal control strategy for a simple stochastic dynamical system with constant drift and an additive control input. Motivated by the example of a physical system with an unexpected change in its dynamics, we take the…
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
In this paper we investigate the problem of controlling a partially observed stochastic dynamical system such that its state is difficult to infer using a (fixed-interval) Bayesian smoother. This problem arises naturally in applications in…
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…
This work considers the problem of approximating initial condition and time-dependent optimal control and trajectory surfaces using multivariable Fourier series. A modified Augmented Lagrangian algorithm for translating the optimal control…
Duality between estimation and optimal control is a problem of rich historical significance. The first duality principle appears in the seminal paper of Kalman-Bucy, where the problem of minimum variance estimation is shown to be dual to a…
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…
Recent work in imitation learning has shown that having an expert controller that is both suitably smooth and stable enables stronger guarantees on the performance of the learned controller. However, constructing such smoothed expert…
We consider the problem of robotic planning under uncertainty in this paper. This problem may be posed as a stochastic optimal control problem, a solution to which is fundamentally intractable owing to the infamous "curse of…
We consider a periodic review inventory control problem having an underlying modulation process that affects demand and that is partially observed by the uncensored demand process and a novel additional observation data (AOD) process. We…