Related papers: Stochastic Production Planning with Regime Switchi…

This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…

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…

This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…

In response to the increasing deployment of battery storage systems for cost reduction and grid stress mitigation, this study presents the development of a new real-time Markov decision process model to efficiently schedule battery systems…

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 develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend…

Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…

The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…

This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…

This paper studies the approximation of optimal control policies by quantized (discretized) policies for a very general class of Markov decision processes (MDPs). The problem is motivated by applications in networked control systems,…

We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…

We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…

Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past…

This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markov regime…

For a Markov process the detailed balance condition is equivalent to the time-reversibility of the process. For stochastic differential equations (SDE's) time discretization numerical schemes usually destroy the property of…

This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…

In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…

We consider an energy storage problem involving a wind farm with a forecasted power output, a stochastic load, an energy storage device, and a connection to the larger power grid with stochastic prices. Electricity prices and wind power…

In this work we analyse a stochastic control problem for the valuation of a natural gas power station while taking into account operating characteristics. Both electricity and gas spot price processes exhibit mean-reverting spikes and…

We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…