相关论文: Optimal Production Planning Under Macroeconomic Re…

We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…

We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…

This work proposes an optimal safe controller minimizing an infinite horizon cost functional subject to control barrier functions (CBFs) safety conditions. The constrained optimal control problem is reformulated as a minimization problem of…

The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

Production planning must account for uncertainty in a production system, arising from fluctuating demand forecasts. Therefore, this article focuses on the integration of updated customer demand into the rolling horizon planning cycle. We…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

We address finding the semi-global solutions to optimal feedback control and the Hamilton--Jacobi--Bellman (HJB) equation. Using the solution of an HJB equation, a feedback optimal control law can be implemented in real-time with minimum…

Autonomous systems have witnessed a rapid increase in their capabilities, but it remains a challenge for them to perform tasks both effectively and safely. The fact that performance and safety can sometimes be competing objectives renders…

The problem of multi-area interchange scheduling in the presence of stochastic generation and load is considered. A new interchange scheduling technique based on a two-stage stochastic minimization of overall expected operating cost is…

Optimal scheduling of batteries has significant potential to reduce electricity costs and to enhance grid resilience. However, effective battery scheduling must account for both physical constraints as well as uncertainties in consumption…

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…

\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by…

This paper investigates the optimal control problems for the finite-horizon continuous-time Markov decision processes with delay-dependent control policies. We develop compactification methods in decision processes, and show that the…

Multi-stage stochastic programming is a well-established framework for sequential decision making under uncertainty by seeking policies that are fully adapted to the uncertainty. Often such flexible policies are not desirable, and the…

In planning problems, it is often challenging to fully model the desired specifications. In particular, in human-robot interaction, such difficulty may arise due to human's preferences that are either private or complex to model.…

Periodic dynamical systems, distinguished by their repetitive behavior over time, are prevalent across various engineering disciplines. In numerous applications, particularly within industrial contexts, the implementation of model…

In this brief paper, we consider the problem of minimizing the asymptotic exit rate of diffusion processes from an open connected bounded set pertaining to a multi-channel system with small random perturbations. Specifically, we establish a…

This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…

We consider the problem of controlling a fully specified Markov decision process (MDP), also known as the planning problem, when the state space is very large and calculating the optimal policy is intractable. Instead, we pursue the more…