相关论文: Dynamic programming for the stochastic matching mo…

In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…

The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…

Discrete-time stochastic systems are an essential modelling tool for many engineering systems. We consider stochastic control systems that are evolving over continuous spaces. For this class of models, methods for the formal verification…

This paper introduces capital flow to the single item stochastic lot sizing problem. A retailer can leverage business overdraft to deal with unexpected capital shortage, but needs to pay interest if its available balance goes below zero. A…

In the classical facility location problem we consider a graph $G$ with fixed weights on the edges of $G$. The goal is then to find an optimal positioning for a set of facilities on the graph with respect to some objective function. We…

This paper deals with estimating model parameters in graphical models. We reformulate it as an information geometric optimization problem and introduce a natural gradient descent strategy that incorporates additional meta parameters. We…

In this paper, we revisit the parameter learning problem, namely the estimation of model parameters for Dynamic Bayesian Networks (DBNs). DBNs are directed graphical models of stochastic processes that encompasses and generalize Hidden…

Model Predictive Control (MPC) has proven to be a powerful tool for the control of systems with constraints. Nonetheless, in many applications, a major challenge arises, that is finding the optimal solution within a single sampling instant…

Temporal graphs are graphs whose topology is subject to discrete changes over time. Given a static underlying graph $G$, a temporal graph is represented by assigning a set of integer time-labels to every edge $e$ of $G$, indicating the…

We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural `projection' of a…

We consider challenging dynamic programming models where the associated Bellman equation, and the value and policy iteration algorithms commonly exhibit complex and even pathological behavior. Our analysis is based on the new notion of…

Consider a graph $G = (V, E)$ and some commuters, each specified by a tuple $(u, v, b)$ consisting of two nodes in the graph $u, v \in V$ and a non-negative real number $b$, specifying their budget. The goal is to find a pricing function…

This paper studies stochastic optimization problems and associated Bellman equations in formats that allow for reduced dimensionality of the cost-to-go functions. In particular, we study stochastic control problems in the…

In this study, we analyse the convergence and stability of dynamic system optimal (DSO) traffic assignment with fixed departure times. We first formulate the DSO traffic assignment problem as a strategic game wherein atomic users select…

This paper studies a basic model of a dynamical distribution network, where the network topology is given by a directed graph with storage variables corresponding to the vertices and flow inputs corresponding to the edges. We aim at…

We propose stochastic control policies to cope with uncertain and variable gas extractions in natural gas networks. Given historical gas extraction data, these policies are optimized to produce the real-time control inputs for nodal gas…

The problem of finding a minimum-weight connected dominating set (CDS) of a given undirected graph has been studied actively, motivated by operations of wireless ad hoc networks. In this paper, we formulate a new stochastic variant of the…

Matching nodes in a graph G = (V, E) is a well-studied algorithmic problem with many applications. The b-matching problem is a generalizati on that allows to match a node with up to b neighbors. This allows more flexible connectivity…

We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…

We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by the other player. We provide, in a general setup, a relaxed…