Related papers: General Optimal Stopping without Time Consistency
Following Demidovich's concept and definition of convergent systems, we analyze the optimal nonlinear damping control, recently proposed [1] for the second-order systems. Targeting the problem of output regulation, correspondingly tracking…
We present a numerical method to compute the optimal maintenance time for a complex dynamic system applied to an example of maintenance of a metallic structure subject to corrosion. An arbitrarily early intervention may be uselessly costly,…
In this note we propose a new approach towards solving numerically optimal stopping problems via reinforced regression based Monte Carlo algorithms. The main idea of the method is to reinforce standard linear regression algorithms in each…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
Consider a polynomial optimisation problem, whose instances vary continuously over time. We propose to use a coordinate-descent algorithm for solving such time-varying optimisation problems. In particular, we focus on relaxations of…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
An iterative learning algorithm is presented for continuous-time linear-quadratic optimal control problems where the system is externally symmetric with unknown dynamics. Both finite-horizon and infinite-horizon problems are considered. It…
Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
A version of the Dynamical Systems Gradient Method for solving ill-posed nonlinear monotone operator equations is studied in this paper. A discrepancy principle is proposed and justified. A numerical experiment was carried out with the new…
In this paper, we solve the existence problem of optimal stopping problem under some kind of nonlinear expectation named g_\Gamma expectation which was recently introduced in Peng, S.G. and Xu, M.Y. [8]. Our method based on our preceding…
This paper proposes an iterative method to solve Mixed-Integer Optimal Control Problems arising from systems with switched dynamics. The so-called relaxed problem plays a central role within this context. Through a numerical example, it is…
Constrained non-convex optimization problems frequently arise in control applications. Solving such problems is inherently challenging, as existing methods often converge to suboptimal local minima or incur prohibitive computational costs.…
This paper considers the equilibrium-free stability and performance analysis of discrete-time nonlinear systems. We consider two types of equilibrium-free notions. Namely, the universal shifted concept, which considers stability and…
Introduction of renewable generation leads to significant reduction of inertia in power system, which deteriorates the quality of frequency control. This paper suggests a new control scheme utilizing controllable load to deal with low…
Understanding how time delays impact the stability of a delay differential equation is important for modeling many natural and technological systems that experience time delays. Here we introduce a new stability criterion for…
This paper proposes novel gradient-flow schemes that yield convergence to the optimal point of a convex optimization problem within a \textit{fixed} time from any given initial condition for unconstrained optimization, constrained…
This paper proposes a finite-time Newton seeking control design for systems described by unknown multivariable static maps. The Newton seeking system has an averaged system that implements a Newton continuous-time algorithm. The averaged…