相关论文: The stochastic goodwill problem

When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…

We consider a simple control problem in which the underlying dynamics depend on a parameter that is unknown and must be learned. We exhibit a control strategy which is optimal to within a multiplicative constant. While most authors find…

We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…

We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…

This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…

The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…

Optimizing decision problems under uncertainty can be done using a variety of solution methods. Soft computing and heuristic approaches tend to be powerful for solving such problems. In this overview article, we survey Evolutionary…

It has been found that stochastic algorithms often find good solutions much more rapidly than inherently-batch approaches. Indeed, a very useful rule of thumb is that often, when solving a machine learning problem, an iterative technique…

We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…

The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…

This paper considers deployment problems where a mobile robotic network must optimize its configuration in a distributed way in order to minimize a steady-state cost function that depends on the spatial distribution of certain probabilistic…

Variational inequalities are a formalism that includes games, minimization, saddle point, and equilibrium problems as special cases. Methods for variational inequalities are therefore universal approaches for many applied tasks, including…

The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of…

We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…

Optimization of decision problems in stochastic environments is usually concerned with maximizing the probability of achieving the goal and minimizing the expected episode length. For interacting agents in time-critical applications,…

This paper presents a novel synthesis method for designing an optimal and robust guidance law for a non-throttleable upper stage of a launch vehicle, using a convex approach. In the unperturbed scenario, a combination of lossless and…

We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…

We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…

This article solves an optimal control problem arising in attitude control of a spacecraft under state and control constraints. We first derive the discrete-time attitude dynamics by employing discrete mechanics. The orientation transfer,…

We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…