相关论文: The stochastic goodwill problem
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
Evolutionary algorithms have been widely used for a range of stochastic optimization problems in order to address complex real-world optimization problems. We consider the knapsack problem where the profits involve uncertainties. Such a…
The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms respond to many auctions -- usually Vickrey auctions --…
The problem of identifying the best arm among a collection of items having Gaussian rewards distribution is well understood when the variances are known. Despite its practical relevance for many applications, few works studied it for…
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function…
We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…
The ranking and selection problem is a popular framework in the simulation literature for studying optimal information collection. We study a version of this problem in which the simulation output for each design is normally distributed…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
This paper considers the control of uncertain systems that are operated under limited resource factors, such as battery life or hardware longevity. We consider here resource-aware self-triggered control techniques that schedule system…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
A distributed nonsmooth robust resource allocation problem with cardinality constrained uncertainty is investigated in this paper. The global objective is consisted of local objectives, which are convex but nonsmooth. Each agent is…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
We investigate the probabilistic feasibility of randomized solutions to two distinct classes of uncertain multi-agent optimization programs. We first assume that only the constraints of the program are affected by uncertainty, while the…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…