Related papers: Diffusion approximations for controlled stochastic…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
We study the value of stochastic predictions in online optimal control with random disturbances. Prior work provides performance guarantees based on prediction error but ignores the stochastic dependence between predictions and…
In this article, we consider transport networks with uncertain demands. Network dynamics are given by linear hyperbolic partial differential equations and suitable coupling conditions, while demands are incorporated as solutions to…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
This paper aims to address an interesting open problem, posed in the paper "Singular Optimal Control for a Transport-Diffusion Equation" of Sergio Guerrero and Gilles Lebeau in 2007. The problem involves studying the null controllability…
We develop an asymptotical control theory for one of the simplest distributed oscillating systems, namely, for a closed string under a bounded load applied to a single distinguished point. We find exact classes of string states that admit…
Here and in a follow-on paper, we consider a simple control problem in which the underlying dynamics depend on a parameter $a$ that is unknown and must be learned. In this paper, we assume that $a$ is bounded, i.e., that $|a| \le…
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…
The field of optimal control typically requires the assumption of perfect knowledge of the system one desires to control, which is an unrealistic assumption for biological systems, or networks, typically affected by high levels of…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
This paper aims to address an interesting open problem posed in the paper ''Singular Optimal Control for a Transport-Diffusion Equation'' of Sergio Guerrero and Gilles Lebeau in 2007. The problem involves studying the null-controllability…
We study an optimal-control problem of polling systems with large switchover times, when a holding cost is incurred on the queues. In particular, we consider a stochastic network with a single server that switches between several buffers…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
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…
We study a one-dimensional diffusion process in a drifted Brownian potential. We characterize the upper functions of its hitting times in the sense of Paul L\'evy, and determine the lower limits in terms of an iterated logarithm law.
This paper revisits a longstanding problem of interest concerning the distributed control of an epidemic process on human contact networks. Due to the stochastic nature and combinatorial complexity of the problem, finding optimal policies…
Introduction of renewable generation leads to significant reduction of inertia in power system, which deteriorates the quality of frequency control. This paper suggests a new control scheme utilizing controllable load to deal with low…
In this work we are interested in the modelling and control of opinion dynamics spreading on a time evolving network with scale-free asymptotic degree distribution. The mathematical model is formulated as a coupling of an opinion alignment…