Related papers: Optimal distributed dynamic advertising
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
We study a sequential profit-maximization problem, optimizing for both price and ancillary variables like marketing expenditures. Specifically, we aim to maximize profit over an arbitrary sequence of multiple demand curves, each dependent…
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondecreasing process representing the cumulative investment. The…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
We present a method to solve fractional optimal control problems, where the dynamic depends on integer and Caputo fractional derivatives. Our approach consists to approximate the initial fractional order problem with a new one that involves…
In this paper, we study a distributed optimization problem for a class of high-order multi-agent systems with unknown dynamics. In comparison with existing results for integrators or linear agents, we need to overcome the difficulties…
With the emergence of new online channels and information technology, digital advertising tends to substitute more and more to traditional advertising by offering the opportunity to companies to target the consumers/users that are really…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
Conservation principles like conservation of charge or energy provide a natural way to couple and constrain different physical variables. In this letter, we propose a dynamical system model that exploits these constraints for solving…
We introduce distributional dynamic programming (DP) methods for optimizing statistical functionals of the return distribution, with standard reinforcement learning as a special case. Previous distributional DP methods could optimize the…
We provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising for instance in finance and economics. The underlying process is a strong solution of one…
Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…
The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in…
We derive novel algorithms for optimization problems constrained by partial differential equations describing multiscale particle dynamics, including non-local integral terms representing interactions between particles. In particular, we…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise…