Related papers: Explicit solution for a network control problem in…

In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…

We consider the problem of selfish agents in discrete-time queuing systems, where competitive queues try to get their packets served. In this model, a queue gets to send a packet each step to one of the servers, which will attempt to serve…

We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and…

This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…

Discrete-time queueing system has widespread applications in packet switching networks, internet protocol, Broadband Integrated Services Digital Network (B-ISDN), circuit switched time-division multiple access etc. In this paper, we analyze…

In the online packet buffering problem (also known as the unweighted FIFO variant of buffer management), we focus on a single network packet switching device with several input ports and one output port. This device forwards unit-size,…

We consider a class of open stochastic processing networks, with feedback routing and overlapping server capabilities, in heavy traffic. The networks we consider satisfy the so-called complete resource pooling condition and therefore have…

This paper considers power distribution networks with distributed energy resources and designs an incentive-based algorithm that allows the network operator and customers to pursue given operational and economic objectives while…

This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…

In routing games, agents pick their routes through a network to minimize their own delay. A primary concern for the network designer in routing games is the average agent delay at equilibrium. A number of methods to control this average…

We consider the problem of controlling a Markov decision process (MDP) with a large state space, so as to minimize average cost. Since it is intractable to compete with the optimal policy for large scale problems, we pursue the more modest…

Motivated by the increasing popularity of learning and predicting human user behavior in communication and computing systems, in this paper, we investigate the fundamental benefit of predictive scheduling, i.e., predicting and pre-serving…

Control of multihop Wireless networks in a distributed manner while providing end-to-end delay requirements for different flows, is a challenging problem. Using the notions of Draining Time and Discrete Review from the theory of fluid…

This paper considers a transmission control problem in network-coded two-way relay channels (NC-TWRC), where the relay buffers random symbol arrivals from two users, and the channels are assumed to be fading. The problem is modeled by a…

In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…

This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…

We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…

Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, while minimizing a cost. The optimal transition rates are…

We address the problem of optimal evasion in a planar endgame engagement, where a target with bounded lateral acceleration seeks to avoid interception by a missile guided by a linear feedback law. Contrary to existing approaches, that…

Performance analysis of queueing networks is one of the most challenging areas of queueing theory. Barring very specialized models such as product-form type queueing networks, there exist very few results which provide provable…