相关论文: On the Dynamic Programming approach to economic mo…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is…
We develop a discrete-time optimal control framework for systems evolving on Lie groups. Our work generalizes the original Differential Dynamic Programming method, by employing a coordinate-free, Lie-theoretic approach for its derivation. A…
The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems motivated by finance. Impulses, which are controlled jumps in a…
Classical adaptive control proves total-system stability for control of linear plants, but only for plants meeting very restrictive assumptions. Approximate Dynamic Programming (ADP) has the potential, in principle, to ensure stability…
The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle…
- In this paper we introduce a new method to solve fixed-delay optimal control problems which exploits numerical homotopy procedures. It is known that solving this kind of problems via indirect methods is complex and computationally…
A new framework for formulating reachability problems with competing inputs, nonlinear dynamics and state constraints as optimal control problems is developed. Such reach-avoid problems arise in, among others, the study of safety problems…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with delay in the control) and for which is difficult to apply the…
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…
We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type. Our setting includes consumption-investment problems for…
We revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure…
This paper develops a dynamic programming (DP) approach for decentralized stochastic optimal control problems with delayed sharing information patterns, which exhibits the fundamental Properties of classical DP of centralized partially…
Computing optimal feedback controls for nonlinear systems generally requires solving Hamilton-Jacobi-Bellman (HJB) equations, which are notoriously difficult when the state dimension is large. Existing strategies for high-dimensional…