Related papers: Maturity randomization for stochastic control prob…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity…
In this work, we investigate a stochastic control framework for global optimization over both Euclidean spaces and the Wasserstein space of probability measures, where the objective function may be non-convex and/or non-differentiable. In…
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the proposed algorithms and derive the…
This paper deals with the Stochastic Capacitated Arc Routing Problem (SCARP), obtained by randomizing quantities on the arcs in the CARP. Optimization problems for the SCARP are characterized by decisions that are made without knowing their…
The goal of robust motion planning consists of designing open-loop controls which optimally steer a system to a specific target region while mitigating uncertainties and disturbances which affect the dynamics. Recently, stochastic optimal…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
Many real world stochastic control problems suffer from the "curse of dimensionality". To overcome this difficulty, we develop a deep learning approach that directly solves high-dimensional stochastic control problems based on Monte-Carlo…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Probabilistic control design is founded on the principle that a rational agent attempts to match modelled with an arbitrary desired closed-loop system trajectory density. The framework was originally proposed as a tractable alternative to…
The main challenge in controlling hybrid systems arises from having to consider an exponential number of sequences of future modes to make good long-term decisions. Model predictive control (MPC) computes a control action through a…