相关论文: SCOP: Schrodinger Control Optimal Planning for Goa…
We consider a Schr\"odinger bridge problem where the Markov process is subject to parameter perturbations, forming an ensemble of systems. Our objective is to steer this ensemble from the initial distribution to the final distribution using…
This paper studies a distributionally robust portfolio optimization model with a cardinality constraint for limiting the number of invested assets. We formulate this model as a mixed-integer semidefinite optimization (MISDO) problem by…
In this paper, we consider a domestic standalone microgrid equipped with local renewable energy generation such as photovoltaic panels, consumption units, and battery storage to balance supply and demand and investigate the stochastic…
In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with general state and action spaces. More precisely, we prove…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
Collateral optimization refers to the systematic allocation of financial assets to satisfy obligations or secure transactions, while simultaneously minimizing costs and optimizing the usage of available resources. {This involves assessing…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to…
We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…
Many science and engineering applications feature non-convex optimization problems where the objective function can not be handled analytically, i.e. it is a black box. Examples include design optimization via experiments, or via costly…
We consider the problem of finding the best memoryless stochastic policy for an infinite-horizon partially observable Markov decision process (POMDP) with finite state and action spaces with respect to either the discounted or mean reward…
In this work, we study the Stochastic Budgeted Multi-round Submodular Maximization (SBMSm) problem, where we aim to adaptively maximize the sum, over multiple rounds, of a monotone and submodular objective function defined on subsets of…
Often considered in numerical simulations related to the control of quantum systems, the so-called monotonic schemes have not been so far much studied from the functional analysis point of view. Yet, these procedures provide an efficient…
This work deals with optimal control problems as a strategy to drive bifurcating solution of nonlinear parametrized partial differential equations towards a desired branch. Indeed, for these governing equations, multiple solution…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
Optimal investment strategies of an individual worker during the accumulation phase in the defined contribution pension scheme have been well studied in the literature. Most of them adopted the classical backward model and approach, but any…