Related papers: Optimal resource allocation for maintaining system…
We consider optimal transport based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conventional convexity assumptions on the underlying loss…
This paper is concerned with the optimal number of redundant allocation to $n$-component coherent systems consist of heterogeneous dependent components. We assume that the system is built of $L$ groups of different components, $L\geq 1$,…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
In this paper we provide a thorough, rigorous theoretical framework to assess optimality guarantees of sampling-based algorithms for drift control systems: systems that, loosely speaking, can not stop instantaneously due to momentum. We…
In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…
We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone function of all the components in the drift of each SDE and the…
We consider a deterministic optimal control problem with a maximum running cost functional, in a finite horizon context, and propose deep neural network approximations for Bellman's dynamic programming principle, corresponding also to some…
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…
Joint channel and rate allocation with power minimization in orthogonal frequency-division multiple access (OFDMA) has attracted extensive attention. Most of the research has dealt with the development of sub-optimal but low-complexity…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We propose a novel formulation for approximating reachable sets through a minimum discounted reward optimal control problem. The formulation yields a continuous solution that can be obtained by solving a Hamilton-Jacobi equation.…
We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping…
We introduce a stochastic version of the optimal transport problem. We provide an analysis by means of the study of the associated Hamilton-Jacobi-Bellman equation, which is set on the set of probability measures. We introduce a new…
Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…
Optimal transport aims to estimate a transportation plan that minimizes a displacement cost. This is realized by optimizing the scalar product between the sought plan and the given cost, over the space of doubly stochastic matrices. When…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
We study a sequential resource allocation problem motivated by adaptive network recruitment, in which a limited budget of identical resources must be allocated over multiple rounds to individuals with stochastic referral capacity.…
We consider optimal control of a multi-class queue in the Halfin--Whitt regime, and revisit the notion of asymptotic optimality and the associated optimality gaps. The existing results in the literature for such systems provide…
In this paper, we consider a company can simultaneously reduce its emissions and buy carbon allowances at any time. We establish an optimal control model involving two stochastic processes with two control variables, which is a singular…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…