相关论文: Inventory Control with Modulated Demand and a Part…
This article considers the average optimality for a continuous-time Markov decision process with Borel state and action spaces and an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is…
We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
In this paper we consider a nonlinear system of PDEs coupling the viscous Cahn-Hilliard-Oono equation with dynamic boundary conditions enjoying a similar structure on the boundary. After proving well-posedness of the corresponding initial…
Partially-observable problems pose a trade-off between reducing costs and gathering information. They can be solved optimally by planning in belief space, but that is often prohibitively expensive. Model-predictive control (MPC) takes the…
This paper deals with the positivity condition of an infinite-dimensional evolutionary equation, associated with a control problem for the optimal consumption over space. We consider a spatial growth model for capital, with production…
Adaptive optimal control using value iteration initiated from a stabilizing control policy is theoretically analyzed in terms of stability of the system during the learning stage without ignoring the effects of approximation errors. This…
In this paper, we propose a combined Magnitude Saturated Adaptive Control (MSAC)-Model Predictive Control (MPC) approach to linear quadratic tracking optimal control problems with parametric uncertainties and input saturation. The proposed…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…
Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency at which they…
Model Predictive Control (MPC) is a well-established approach to solve infinite horizon optimal control problems. Since optimization over an infinite time horizon is generally infeasible, MPC determines a suboptimal feedback control by…
We consider approximate dynamic programming for the infinite-horizon stationary $\gamma$-discounted optimal control problem formalized by Markov Decision Processes. While in the exact case it is known that there always exists an optimal…
In this article we study an optimal control problem subject to the Fokker-Planck equation \[ \partial_t \rho - \nu \Delta \rho - {\rm div } \big(\rho B[u]\big) = 0. \] The control variable $u$ is time-dependent and possibly…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
The classic newsvendor model yields an optimal decision for a ``newsvendor'' selecting a quantity of inventory, under the assumption that the demand is drawn from a known distribution. Motivated by applications such as cloud provisioning…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…