Related papers: General Optimal Stopping without Time Consistency
This paper presents a distributed continuous-time optimization framework aimed at overcoming the challenges posed by time-varying cost functions and constraints in multi-agent systems, particularly those subject to disturbances. By…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
A fast convergence in a fixed-time of solutions of nonlinear dynamical systems, for which special requirements are satisfied on the derivative of a quadratic function calculated along the solutions of the system, is proposed. The conditions…
This paper investigates the global stability and the global asymptotic stability independent of the sizes of the delays of linear time-varying Caputo fractional dynamic systems of real fractional order possessing internal point delays. The…
This paper considers the problem of designing a dynamical system to solve constrained optimization problems in a distributed way and in an anytime fashion (i.e., such that the feasible set is forward invariant). For problems with separable…
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…
A two-dimensional system of differential equations with delay modelling the glucose-insulin interaction processes in the human body is considered. Sufficient conditions are derived for the unique positive equilibrium in the system to be…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
Time distributed optimization is an implementation strategy that can significantly reduce the computational burden of model predictive control by exploiting its robustness to incomplete optimization. When using this strategy, optimization…
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181,…
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times…
This paper is interested in the problem of optimal stopping in a mean field game context. The notion of mixed solution is introduced to solve the system of partial differential equations which models this kind of problem. This notion…
The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
In this paper the finite-time stabilization problem is solved for a linear time-varying system with unknown control direction by exploiting a modified version of the classical extremum seeking algorithm. We propose to use a suitable…
We propose two new alternating direction methods to solve "fully" nonsmooth constrained convex problems. Our algorithms have the best known worst-case iteration-complexity guarantee under mild assumptions for both the objective residual and…