Related papers: Optimal stochastic impulse control problem with de…
In this paper, we discuss the relationships between capacity of control in entropy theory and intrinsic properties in control theory for a class of finite dimensional stochastic dynamical systems described by a linear stochastic…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
We consider the stochastic scheduling problem of minimizing the expected makespan on $m$ parallel identical machines. While the (adaptive) list scheduling policy achieves an approximation ratio of $2$, any (non-adaptive) fixed assignment…
We consider a logistic differential equation subject to impulsive delayed harvesting, where the deduction information is a function of the population size at the time of one of the previous impulses. A close connection to the dynamics of…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
We obtain necessary conditions of optimality for impulsive Volterra integral equations with switching and impulsive controls, with variable impulse time-instants. The present work continues and complements our previous work on impulsive…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
In this paper a novel stochastic optimization and extremum seeking algorithm is presented, one which is based on time-delayed random perturbations and step size adaptation. For the case of a one-dimensional quadratic unconstrained…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
Markov chains are the de facto finite-state model for stochastic dynamical systems, and Markov decision processes (MDPs) extend Markov chains by incorporating non-deterministic behaviors. Given an MDP and rewards on states, a classical…
In the present paper, we study the existence and optimal controllability of a multi-term time-fractional stochastic system with non-instantaneous impulses. Using semigroup theory, stochastic analysis theory, and Krasnoselskii's fixed point…
This paper studies input-to-state stability (ISS) of general nonlinear time-delay systems subject to delay-dependent impulse effects. Sufficient conditions for ISS are constructed by using the method of Lyapunov functionals. It is shown…
An optimal control problem for longitudinal motions of a thin elastic rod is considered. We suppose that a normal force, which changes piecewise constantly along the rod's length, is applied to the cross-section so that the positions of…