相关论文: Recursive Overbetting of a Satellite Investment Ac…

Models of adaptive bet-hedging commonly adopt insights from Kelly's famous work on optimal gambling strategies and the financial value of information. In particular, such models seek evolutionary solutions that maximize long term average…

This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…

Existing analyses of ergodic capacity in satellite mega-constellations often rely on restrictive serving time assumptions or become intractable under realistic handover strategies. This paper develops a framework for characterising the…

In this paper, we consider a simple discrete-time optimal betting problem using the celebrated Kelly criterion, which calls for maximization of the expected logarithmic growth of wealth. While the classical Kelly betting problem can be…

The main focus of the work presented in this thesis is to develop an optimal control based formation flying control strategy for high precision formation flying of small satellites that have restricted computation and storage capacity.…

We consider the synthesis problem of a multi-agent system under signal temporal logic (STL) specifications representing bounded-time tasks that need to be satisfied recurrently over an infinite horizon. Motivated by the limited approaches…

Following a series of works on capital growth investment, we analyse log-optimal portfolios where the return evaluation includes `weights' of different outcomes. The results are twofold: (A) under certain conditions, the logarithmic growth…

We introduce an infinite-horizon, continuous-time portfolio selection problem faced by an agent with periodic S-shaped preference and present bias. The inclusion of a quasi-hyperbolic discount function leads to time-inconsistency and we…

The takeoff point for this paper is the voluminous body of literature addressing recursive betting games with expected logarithmic growth of wealth being the performance criterion. Whereas almost all existing papers involve use of linear…

This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…

We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the…

This paper presents a quasi time optimal receding horizon control algorithm. The proposed algorithm generates near time optimal control when the state of the system is far from the target. When the state attains a certain neighbourhood of…

The recent growing trend to develop large-scale satellite constellations (i.e., mega-constellation) with low-cost small satellites has brought the need for an efficient and scalable maintenance strategy decision plan. Traditional spare…

This paper presents a novel approach for robust periodic attitude control of satellites. Respecting the periodicity of the satellite dynamics in the synthesis allows to achieve constant performance and robustness requirements over the…

We consider learning a trading agent acting on behalf of the treasury of a firm earning revenue in a foreign currency (FC) and incurring expenses in the home currency (HC). The goal of the agent is to maximize the expected HC at the end of…

We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state and control…

This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under…

As we move towards safety-critical cyber-physical systems that operate in non-stationary and uncertain environments, it becomes crucial to close the gap between classical optimal control algorithms and adaptive learning-based methods. In…

We consider the problem of optimization of contributions of a financial planner such as a working individual towards a financial goal such as retirement. The objective of the planner is to find an optimal and feasible schedule of periodic…

We study the problem of computing optimal correlated equilibria (CEs) in infinite-horizon multi-player stochastic games, where correlation signals are provided over time. In this setting, optimal CEs require history-dependent policies; this…