Related papers: Optimal stochastic impulse control problem with de…

Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…

In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…

The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…

This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…

Delays and stochasticity have both served as crucially valuable ingredients in mathematical descriptions of control, physical, and biological systems. In this work, we investigate how explicitly dynamical stochasticity in delays modulates…

In this paper we are introducing a new reinforcement learning method for control problems in environments with delayed feedback. Specifically, our method employs stochastic planning, versus previous methods that used deterministic planning.…

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…

Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…

In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…

We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…

This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…

This work presents a novel algorithm for impulsive optimal control of linear time-varying systems with the inclusion of input magnitude constraints. Impulsive optimal control problems, where the optimal input solution is a sum of delta…

In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…

We consider a class of optimal control problems of stochastic delay differential equations (SDDE) that arise in connection with optimal advertising under uncertainty for the introduction of a new product to the market, generalizing…

This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…

We investigate the problem of coordinating human-driven vehicles in road intersections without any traffic lights or signs by issuing speed advices. The vehicles in the intersection are assumed to move along an a priori known path and to be…

Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…