相关论文: SCOP: Schrodinger Control Optimal Planning for Goa…

Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…

We consider an optimal control problem (OCP) for a partial differential equation (PDE) with random coefficients. The optimal control function is a deterministic, distributed forcing term that minimizes an expected quadratic regularized loss…

We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…

Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…

We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…

This paper investigates a category of constrained fractional optimization problems that emerge in various practical applications. The objective function for this category is characterized by the ratio of a numerator and denominator, both…

We develop a continuous-time control approach to optimal trading in a Proof-of-Stake (PoS) blockchain, formulated as a consumption-investment problem that aims to strike the optimal balance between a participant's (or agent's) utility from…

We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural policies with Pontryagin's Maximum Principle (PMP) and enforces…

This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…

In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…

We study partial and budgeted versions of the well studied connected dominating set problem. In the partial connected dominating set problem, we are given an undirected graph G = (V,E) and an integer n', and the goal is to find a minimum…

Systematic design and verification of advanced control strategies for complex systems under uncertainty largely remains an open problem. Despite the promise of blackbox optimization methods for automated controller tuning, they generally…

Solving large-scale robust portfolio optimization problems is challenging due to the high computational demands associated with an increasing number of assets, the amount of data considered, and market uncertainty. To address this issue, we…

In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg…

In this review/tutorial article, we present recent progress on optimal control of partially observed Markov Decision Processes (POMDPs). We first present regularity and continuity conditions for POMDPs and their belief-MDP reductions, where…

We consider an optimal control problem constrained by a parabolic partial differential equation (PDE) with Robin boundary conditions. We use a well-posed space-time variational formulation in Lebesgue--Bochner spaces with minimal…

In this paper, we address a social planner's optimal control problem for a partially observable stochastic epidemic model. The control measures include social distancing, testing, and vaccination. Using a diffusion approximation for the…

This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…

Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…

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…