相关论文: Optimum Production for a heaped stock dependent br…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…
The controller of an input-affine system is determined through minimizing a time-varying objective function, where stabilization is ensured via a Lyapunov function decay condition as constraint. This constraint is incorporated into the…
We consider discrete-time dynamics, for cascading failure in DC networks, whose map is composition of failure rule with control actions. Supply-demand at the nodes is monotonically non-increasing under admissible control. Under the failure…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
This work is concerned with the optimal control problems governed by a 1D wave equation with variable coefficients and the control spaces $\mathcal M_T$ of either measure-valued functions $L_{w^*}^2(I,\mathcal M(\Omega))$ or vector measures…
We consider a one dimensional elliptic distributed optimal control problem with pointwise constraints on the derivative of the state. By exploiting the variational inequality satisfied by the derivative of the optimal state, we obtain…
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…
This paper discusses desirable properties of forecasting models in production systems. It then develops a family of models which are designed to satisfy these properties: highly customizable to capture complex patterns; accommodates a large…
This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model admits several state variables (e.g. market spread,…
In many real-life scenarios, system failure depends on dynamic stress-strength interference, where strength degrades and stress accumulates concurrently over time. In this paper, we consider the problem of finding an optimal replacement…
This work discusses the finite element discretization of an optimal control problem for the linear wave equation with time-dependent controls of bounded variation. The main focus lies on the convergence analysis of the discretization…
This paper develops a unified explicit solution theory for optimal execution through sequential limit-order placement in a limit order book. Rather than controlling only the trading speed of a metaorder, we determine how individual limit…
Model predictive control is a control approach that minimizes a stage cost over a predicted system trajectory based on a model of the system and is capable of handling state and input constraints. For uncertain models, robust or adaptive…
The most important characteristics of the fragmentation of heterogeneous solids is that the mass (size) distribution of pieces is described by a power law functional form. The exponent of the distribution displays a high degree of…
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…