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The study is devoted to mathematical modeling and optimal control design of longitudinal motions of a rectilinear elastic rod. The control inputs are a force, which is normal to the cross section and distributed piecewise constantly along…
We develop a continuous-time control approach to optimal trading in a Proof-of-Stake (PoS) blockchain, formulated as a consumption-investment problem that aims to strike the optimal balance between a participant's (or agent's) utility from…
We discretize a risk-neutral optimal control problem governed by a linear elliptic partial differential equation with random inputs using a Monte Carlo sample-based approximation and a finite element discretization, yielding finite…
This paper is concerned with the problem of controlling a system of constrained dynamic subsystems in a way that balances the performance degradation of decentralized control with the practical cost of centralized control. We propose a…
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…
Conformal risk control (CRC) provides distribution-free guarantees for controlling the expected loss at a user-specified level. Existing theory typically assumes that the loss decreases monotonically with a tuning parameter that governs the…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
This note proposes a distributed model predictive control (DMPC) scheme with switched cost functions for a class of spatially interconnected systems with communication constraints. Non-iterative and parallel communication strategy is…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
We present an optimisation-based approach to ensure robust asymptotic stability stability of a desired set in the state space of nonlinear dynamical systems, while optimising a general control objective. The approach relies on the decrease…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
This paper considers a risk-constrained infinite-horizon optimal control problem and proposes to solve it in an iterative manner. Each iteration of the algorithm generates a trajectory from the starting point to the target equilibrium state…
We develop a tracking model predictive control (MPC) scheme for nonlinear systems using the linearized dynamics at the current state as a prediction model. Under reasonable assumptions on the linearized dynamics, we prove that the proposed…