相关论文: Treating the Future Equally: Solving Undiscounted …

This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…

This paper proposes a new indirect solution method for solving state-constrained optimal control problems by revisiting the well-established optimal control theory and addressing the long-standing issue of discontinuous control and costate…

This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…

A class of infinite horizon optimal control problems involving $L^p$-type cost functionals with $0<p\leq 1$ is discussed. The existence of optimal controls is studied for both the convex case with $p=1$ and the nonconvex case with $0<p<1$,…

We build on a recently proposed method for explaining solutions of constraint satisfaction problems. An explanation here is a sequence of simple inference steps, where the simplicity of an inference step is measured by the number and types…

For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…

We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This path-dependency is the novelty of the model, and…

We consider optimal route planning when the objective function is a general nonlinear and non-monotonic function. Such an objective models user behavior more accurately, for example, when a user is risk-averse, or the utility function needs…

We consider a stochastic linear system and address the design of a finite horizon control policy that is optimal according to some average cost criterion and accounts also for probabilistic constraints on both the input and state variables.…

We present a hierarchical computation approach for solving finite-time optimal control problems using operator splitting methods. The first split is performed over the time index and leads to as many subproblems as the length of the…

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…

In this work, we state a general conjecture on the solvability of optimization problems via algorithms with linear convergence guarantees. We make a first step towards examining its correctness by fully characterizing the problems that are…

The solution of a constrained linear-quadratic regulator problem is determined by the set of its optimal active sets. We propose an algorithm that constructs this set of active sets for a desired horizon N from that for horizon N-1. While…

Constrained Optimization solution algorithms are restricted to point based solutions. In practice, single or multiple objectives must be satisfied, wherein both the objective function and constraints can be non-convex resulting in multiple…

This paper considers the discrete-time, stochastic LQR problem with $p$ steps of disturbance preview information where $p$ is finite. We first derive the solution for this problem on a finite horizon with linear, time-varying dynamics and…

We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope…

We consider the Lane-Emden equation with a supercritical nonlinearity with an inhomogeneous Dirichlet boundary condition on an infinite cone. Under suitable conditions for the boundary data and the exponent of nonlinearity, we give a…

The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…

We obtain Euler-Lagrange and transversality optimality conditions for higher-order infinite horizon variational problems on a time scale. The new necessary optimality conditions improve the classical results both in the continuous and…

In this paper, we study optimal switching problems under ambiguity. To characterize the optimal switching under ambiguity in the finite horizon, we use multidimensional reflected backward stochastic differential equations (multidimensional…