相关论文: Asymptotics of the optimum in discrete sequential …
Multi-stage decision-making under uncertainty, where decisions are taken under sequentially revealing uncertain problem parameters, is often essential to faithfully model managerial problems. Given the significant computational challenges…
The sequential multiple testing problem is considered under two generalized error metrics. Under the first one, the probability of at least $k$ mistakes, of any kind, is controlled. Under the second, the probabilities of at least $k_1$…
We present a numerical algorithm that allows the approximation of optimal controls for stochastic reaction-diffusion equations with additive noise by first reducing the problem to controls of feedback form and then approximating the…
A common theme in stochastic optimization problems is that, theoretically, stochastic algorithms need to "know" relatively rich information about the underlying distributions. This is at odds with most applications, where distributions are…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional It\^{o} model when the discrete rebalancing dates are stopping times. We investigate the convergence,…
We consider optimal swarm control problems where two different classes of agents are present. Continuum idealizations of large-scale swarms are used where the dynamics describe the evolution of the spatially-distributed densities of each…
In this paper, we propose a stochastic scheduling strategy for estimating the states of N discrete-time linear time invariant (DTLTI) dynamic systems, where only one system can be observed by the sensor at each time instant due to practical…
This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…
We solve a sequential decision-making problem under uncertainty that takes into account the failure probability of a task. This problem cannot be handled by the stochastic shortest path problem, which is the standard model for sequential…
The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of…
We study stochastic static teams with countably infinite number of decision makers, with the goal of obtaining (globally) optimal policies under a decentralized information structure. We present sufficient conditions to connect the concepts…
The optimization of measurement for n samples of pure sates are studied. The error of the optimal measurement for n samples is asymptotically compared with the one of the maximum likelihood estimators from n data given by the optimal…
Optimal portfolio selection problems are determined by the (unknown) parameters of the data generating process. If an investor wants to realise the position suggested by the optimal portfolios, he/she needs to estimate the unknown…
This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…
We discuss the optimal design problem in regression models with long-range dependence error structure. Asymptotic optimal designs are derived and it is demonstrated that these designs depend only indirectly on the correlation function.…
This work addresses the distributed estimation problem in a set membership framework. The agents of a network collect measurements which are affected by bounded errors, thus implying that the unknown parameters to be estimated belong to a…
We consider the stochastic extensible bin packing problem (SEBP) in which $n$ items of stochastic size are packed into $m$ bins of unit capacity. In contrast to the classical bin packing problem, the number of bins is fixed and they can be…
This paper investigates the asymptotic behaviour of solutions to certain infinite systems of coupled recurrence relations. In particular, we obtain a characterisation of those initial values which lead to a convergent solution, and for…
The (conditional or unconditional) distribution of the continuous scan statistic in a one-dimensional Poisson process may be approximated by that of a discrete analogue via time discretization (to be referred to as the discrete…