Related papers: General Optimal Stopping without Time Consistency
The present paper is mainly aimed at introducing a novel notion of stability of nonlinear time-delay systems called Rational Stability. According to the Lyapunov-type, various sufficient conditions for rational stability are reached. Under…
The development of finite/fixed-time stable optimization algorithms typically involves study of specific problem instances. The lack of a unified framework hinders understanding of more sophisticated algorithms, e.g., primal-dual gradient…
In this letter, by regarding finite-time stability as an inverse problem, we reveal the essence of finite-time stability and fixed-time stability. Some necessary and sufficient conditions are given. As application, we give a new approach…
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions rather than an RCLL process. We…
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…
In this technical note, we investigate an optimal output consensus problem for heterogeneous uncertain nonlinear multi-agent systems. The considered agents are described by high-order nonlinear dynamics subject to both static and dynamic…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
Novel nonlinear damping control is proposed for the second-order systems. The proportional output feedback is combined with the damping term which is quadratic to the output derivative and inverse to the set-point distance. The global…
In this paper we propose a new method to stabilise non-symmetric indefinite problems. The idea is to solve a forward and an adjoint problem simultaneously using a suitable stabilised finite element method. Both stabilisation of the element…
This paper considers a class of convex optimization problems where both, the objective function and the constraints, have a continuously varying dependence on time. Our goal is to develop an algorithm to track the optimal solution as it…
This paper develops a robust fixed time optimization framework for constrained problems that guarantees exact constraint satisfaction and convergence to KKT points within fixed time , independent of initial conditions. The approach treats…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
An inverse-free dynamical system is proposed to solve the generalized absolute value equation (GAVE) with a fixed time convergence, where the time of convergence is finite and is uniformly bounded for all initial points. Moreover, an…
In this paper, we propose two projection dynamical systems for solving inverse quasi-variational inequality problems in finite-dimensional Hilbert spaces-one ensuring finite-time stability and the other guaranteeing fixed-time stability. We…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
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…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…