Related papers: An escape time criterion for queueing networks: As…

We consider optimal control of a stochastic network,where service is controlled to prevent buffer overflow. We use a risk-sensitive escape time criterion, which in comparison to the ordinary escape time criteria heavily penalizes exits…

We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…

A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

The paper solves constrained Dynkin games with risk-sensitive criteria, where two players are allowed to stop at two independent Poisson random intervention times, via the theory of backward stochastic differential equations. This…

In this paper, we consider an expanding construction of a distributed control system, which is obtained by adding a new subsystem one after the other, until all $n$ subsystems, where $n \ge 2$, are included in the distributed control…

We study a differential game that governs the moderate-deviation heavy-traffic asymptotics of a multiclass single-server queueing control problem with a risk-sensitive cost. We consider a cost set on a finite but sufficiently large time…

In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of…

We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…

This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we derive sufficient conditions for achieving the Nash equilibrium,…

A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sensitive type control problem is considered for multi-class…

This paper considers risk-sensitive model predictive control for stochastic systems with a decision-dependent distribution. This class of systems is commonly found in human-robot interaction scenarios. We derive computationally tractable…

In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…

Intensity control is a class of continuous-time dynamic optimization problems with many important applications in Operations Research including queueing and revenue management. In this study, we propose a practical continuous-time…

Motivated by the recent interest in risk-aware control, we study a continuous-time control synthesis problem to bound the risk that a stochastic linear system violates a given specification. We use risk signal temporal logic as a…

This paper tackles the problem of generating safe exit controllers for continuous-time systems described by stochastic differential equations (SDEs). The primary aim is to develop controllers that maximize the lower bounds of the exit…

This paper concerns the risk-aware control of stochastic systems with temporal logic specifications dynamically assigned during runtime. Conventional risk-aware control typically assumes that all specifications are predefined and remain…

We consider the problem of designing risk-sensitive optimal control policies for scheduling packet transmissions in a stochastic wireless network. A single client is connected to an access point (AP) through a wireless channel. Packet…

In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates…

We present a scheme for sequential decision making with a risk-sensitive objective and constraints in a dynamic environment. A neural network is trained as an approximator of the mapping from parameter space to space of risk and policy with…