Related papers: A Sequential Testing Problem with Signal Control
We consider control and inference problems where control protocols and internal dynamics are informed by two types of constraints. Our data consist of i) statistics on the ensemble and ii) trajectories or final disposition of selected…
A sequential problem in decentralized detection is considered. Two observers can make repeated noisy observations of a binary hypothesis on the state of the environment. At any time, observer 1 can stop and send a final binary message to…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…
We consider the minimization over probability measures of the expected value of a random variable, regularized by relative entropy with respect to a given probability distribution. In the general setting we provide a complete…
We show that the minimum effort control of colloidal self-assembly can be naturally formulated in the order-parameter space as a generalized Schr\"{o}dinger bridge problem -- a class of fixed-horizon stochastic optimal control problems that…
We exhibit optimal control strategies for a simple toy problem in which the underlying dynamics depend on a parameter that is initially unknown and must be learned. We consider a cost function posed over a finite time interval, in contrast…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
The problem of decentralized sequential change detection is considered, where an abrupt change occurs in an area monitored by a number of sensors; the sensors transmit their data to a fusion center, subject to bandwidth and energy…
Reliable optimal control is challenging when the dynamics of a nonlinear system are unknown and only infrequent, noisy output measurements are available. This work addresses this setting of limited sensing by formulating a Bayesian prior…
We consider the problem of sequential decision making on random fields corrupted by noise. In this scenario, the decision maker observes a noisy version of the data, yet judged with respect to the clean data. In particular, we first…
Sequential detection of independent anomalous processes among K processes is considered. At each time, only M processes can be observed, and the observations from each chosen process follow two different distributions, depending on whether…
We consider the problem of sequentially making decisions that are rewarded by "successes" and "failures" which can be predicted through an unknown relationship that depends on a partially controllable vector of attributes for each instance.…
In stochastic control applications, typically only an ideal model (controlled transition kernel) is assumed and the control design is based on the given model, raising the problem of performance loss due to the mismatch between the assumed…
This paper considers optimal input design when the intended use of the identified model is to construct a feed-forward controller based on measurable disturbances. The objective is to find a minimum power excitation signal to be used in…
Sequential estimation of a vector of linear regression coefficients is considered under both centralized and decentralized setups. In sequential estimation, the number of observations used for estimation is determined by the observed…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
We address the optimal sampling of a Wiener process under sampling and transmission costs, with the samples being forwarded to a remote estimator over a channel with IID delay. The goal of the estimator is to reconstruct the real-time…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
The problem of continuous inverse optimal control (over finite time horizon) is to learn the unknown cost function over the sequence of continuous control variables from expert demonstrations. In this article, we study this fundamental…