Related papers: A turnpike property in an eigenvalue optimization …
We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process…
We consider the model of a transportation problem with the objective of finding a minimum-cost transportation plan for shipping a given commodity from a set of supply centers to the customers. Since the exact values of supply and demand and…
In this paper, we present performance estimates for stochastic economic MPC schemes with risk-averse cost formulations. For MPC algorithms with costs given by the expectation of stage cost evaluated in random variables, it was recently…
We study the statistical properties of the entropic optimal (self) transport problem for smooth probability measures. We provide an accurate description of the limit distribution for entropic (self-)potentials and plans as the…
We consider entropically regularized, semi-discrete versions of variational problems on the set of probability measures involving optimal transport as well as other terms. We prove that the solutions can be characterized by well-posed…
The aim of this work is to point out that the class of free boundary problems governed by second order autonomous ordinary differential equations can be transformed to initial value problems. Interest in the numerical solution of free…
Dworczak et al. (2021) study when certain market structures are optimal in the presence of heterogeneous preferences. A key assumption is that the social planner knows the joint distribution of the value of the good and marginal value of…
A variant of the classical optimal transportation problem is: among all joint measures with fixed marginals and which are dominated by a given density, find the optimal one. Existence and uniqueness of solutions to this variant were…
We present a method to extract temporal hypergraphs from sequences of 2-dimensional functions obtained as solutions to Optimal Transport problems. We investigate optimality principles exhibited by these solutions from the point of view of…
We consider irreversible and coupled reversible-irreversible nonlinear port-Hamiltonian systems and the respective sets of thermodynamic equilibria. In particular, we are concerned with optimal state transitions and output stabilization on…
Shape optimization problems for interior eigenvalues is a very challenging task since already the computation of interior eigenvalues for a given shape is far from trivial. For example, a concrete maximizer with respect to shapes of fixed…
This paper presents a novel phase-field-based methodology for solving minimum compliance problems in topology optimization under fixed external loads and body forces. The proposed framework characterizes the optimal structure through an…
We consider the singular optimal control problem of minimizing the energy supply of linear dissipative port-Hamiltonian descriptor systems subject to control and terminal state constraints. To this end, after reducing the problem to an ODE…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
The problem of constrained Markov decision process is considered. An agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its costs (the number of constraints is relatively small). A new dual…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
Parameterized complexity allows us to analyze the time complexity of problems with respect to a natural parameter depending on the problem. Reoptimization looks for solutions or approximations for problem instances when given solutions to…
Biological molecular machines convert free energy between different forms in cells, often at high efficiency. Optimal control theory provides a framework to elucidate design principles governing energetically efficient driving. Here, we use…
We study the asymptotic behavior of solutions to linear-quadratic mean field stochastic optimal control problems. By formulating an ergodic control framework, we characterize the convergence between the finite time horizon control problem…