相关论文: Discrete-Time Approximations of Controlled Diffusi…
We study the optimal scheduling problem for a Markovian multiclass queueing network with abandonment in the Halfin--Whitt regime, under the long run average (ergodic) risk sensitive cost criterion. The objective is to prove asymptotic…
In this paper, we propose an efficient implementation of deep policy gradient method (PGM) for optimal control problems in continuous time. The proposed method has the ability to manage the allocation of computational resources, number of…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
This paper investigates an infinite horizon discounted linear-quadratic (LQ) optimal control problem for stochastic differential equations (SDEs) incorporating regime switching and mean-field interactions. The regime switching is modeled by…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
This paper presents a discrete time probabilistic dynamic for simulating a contact-based epidemic spreading based on discrete time Markov chain process, in particular the attention is addressed to the susceptible-infectious-removed (SIR)…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
We analyze the infinite horizon minimax average cost Markov Control Model (MCM), for a class of controlled process conditional distributions, which belong to a ball, with respect to total variation distance metric, centered at a known…
We consider the problem of computing optimal linear control policies for linear systems in finite-horizon. The states and the inputs are required to remain inside pre-specified safety sets at all times despite unknown disturbances. In this…
Diffusion models have become popular for policy learning in robotics due to their ability to capture high-dimensional and multimodal distributions. However, diffusion policies are stochastic and typically trained offline, limiting their…
This note re-visits the rolling-horizon control approach to the problem of a Markov decision process (MDP) with infinite-horizon discounted expected reward criterion. Distinguished from the classical value-iteration approach, we develop an…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…
We study infinite horizon control of continuous-time non-linear branching processes with almost sure extinction for general (positive or negative) discount. Our main goal is to study the link between infinite horizon control of these…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
In this work, solution of the finite horizon hybrid optimal control problem as the central element of the receding horizon optimal control (model predictive control) is investigated based on the indirect approach. The response of a hybrid…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
This paper investigates a class of optimal control problems associated with Markov processes with local state information. The decision-maker has only local access to a subset of a state vector information as often encountered in…