Related papers: Diffusion approximations for controlled stochastic…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…
We study a stochastic network that consists of a set of servers processing multiple classes of jobs. Each class of jobs requires a concurrent occupancy of several servers while being processed, and each server is shared among the job…
We introduce a class of distributed control policies for networks of discrete-time linear systems with polytopic additive disturbances. The objective is to restrict the network-level state and controls to user-specified polyhedral sets for…
We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a standard reflection policy equal with the expected value of a…
In this paper, we discuss the relationships between capacity of control in entropy theory and intrinsic properties in control theory for a class of finite dimensional stochastic dynamical systems described by a linear stochastic…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
Control barrier functions are widely used to synthesize safety-critical controls. However, the presence of Gaussian-type noise in dynamical systems can generate unbounded signals and potentially result in severe consequences. Although…
This paper concerns rollout and certainty-equivalent rollout policies for stochastic shortest path problems with absorbing terminal states. The main result provides a direct non-asymptotic performance certificate for a fixed rollout policy:…
When monitoring the dynamics of stochastic systems, such as interacting particles agitated by thermal noise, disentangling deterministic forces from Brownian motion is challenging. Indeed, we show that there is an information-theoretic…
Consider a (logical) link between two distributed data centers with available bandwidth designated for both deadline-driven elastic traffic, such as for scheduled synchronization services, and profitable inelastic traffic, such as for…
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 optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers…
In this paper, we consider the problem of tuning the edge weights of a networked system described by linear time-invariant dynamics. We assume that the topology of the underlying network is fixed and that the set of feasible edge weights is…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main…
We study the convergence of an $N$-particle Markovian controlled system to the solution of a family of stochastic McKean-Vlasov control problems, either with a finite horizon or Schr\"odinger type cost functional. Specifically, under…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…