相关论文: Cash Management and Control Band Policies for Spec…

We present two related anytime algorithms for control of nonlinear systems when the processing resources available are time-varying. The basic idea is to calculate tentative control input sequences for as many time steps into the future as…

We propose a methodology for performing risk-averse quadratic regulation of partially observed Linear Time-Invariant (LTI) systems disturbed by process and output noise. To compensate against the induced variability due to both types of…

We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…

Given a spectrally negative L\'evy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever it is above it. We also consider the versions with…

We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at…

Cross-assignment of directional wave spectra is a critical task in wave data assimilation. Traditionally, most methods rely on two-parameter spectral distances or energy ranking approaches, which often fail to account for the complexities…

We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is…

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…

We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…

This paper considers the leader-follower control problem for a linear multi-agent system with directed communication topology and linear nonidentical uncertain coupling subject to integral quadratic constraints (IQCs). A consensus-type…

Motivated by original equipment manufacturer (OEM) service and maintenance practices we consider a single component subject to replacements at failure instances and two types of preventive maintenance opportunities: scheduled, which occur…

Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…

This paper studies de Finetti's optimal dividend problem with capital injection. We confirm the optimality of a double barrier strategy when the underlying risk model follows a L\'evy process that may have positive and negative jumps. The…

In this work we address the problem of finding feasible policies for Constrained Markov Decision Processes under probability one constraints. We argue that stationary policies are not sufficient for solving this problem, and that a rich…

We consider a simplified model for optimizing a single-asset portfolio in the presence of transaction costs given a signal with a certain autocorrelation and cross-correlation structure. In our setup, the portfolio manager is given two…

We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…

By means of the linear parameter-varying (LPV) Fundamental Lemma, we derive novel data-driven predictive control (DPC) methods for LPV systems. In particular, we present output-feedback and state-feedback-based LPV-DPC methods with terminal…

It is well known that highly volatile control laws, while theoretically optimal for certain systems, are undesirable from an engineering perspective, being generally deleterious to the controlled system. In this article we are concerned…

We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…

Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely…