Related papers: Optimal distributed dynamic advertising
We consider the problem of solving a smooth convex optimization problem with equality and inequality constraints in a distributed fashion. Assuming that we have a group of agents available capable of communicating over a communication…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
In this paper an optimal control problem for a large system of interacting agents is considered using a kinetic perspective. As a prototype model we analyze a microscopic model of opinion formation under constraints. For this problem a…
This paper addresses a nonlinear partial differential control system arising in population dynamics. The system consist of three diffusion equations describing the evolutions of three biological species: prey, predator, and food for the…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
In this paper we formulate a contract design problem where a primary license holder wishes to profit from its excess spectrum capacity by selling it to potential secondary users/buyers. It needs to determine how to optimally price the…
In this paper, we investigate the distributed optimal control problem for a kind of nonlinear multi-agent systems. In particular,both the state and the system dynamic structures of each agent are private and can only be shared among…
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 consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…
For a model convection-diffusion problem, we address the presence of oscillatory discrete solutions, and study difficulties in recovering standard approximation results for its solution. We justify the presence of non-physical oscillations…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
This work shows the existence of optimal control laws for persistent monitoring of mobile targets in a one-dimensional mission space and derives explicit solutions. The underlying performance metric consists of minimizing the total…
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
This paper introduces a novel approach to solve the coverage optimization problem in multi-agent systems. The proposed technique offers an optimal solution with a lower cost with respect to conventional Voronoi-based techniques by…
We consider control-constrained linear-quadratic optimal control problems on evolving surfaces. In order to formulate well-posed problems, we prove existence and uniqueness of weak solutions for the state equation, in the sense of…