相关论文: Treating the Future Equally: Solving Undiscounted …
Time Optimal Path Parametrization is the problem of minimizing the time interval during which an actuation constrained agent can traverse a given path. Recently, an efficient linear-time algorithm for solving this problem was proposed.…
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, two needed assumptions are identified. A…
Decision processes with incomplete state feedback have been traditionally modeled as Partially Observable Markov Decision Processes. In this paper, we present an alternative formulation based on probabilistic regular languages. The proposed…
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon $[0,T]$ as $T\rightarrow\infty$. The so-called turnpike properties are established for such problems, under…
In this paper, we study the exterior problem for the maximal surface equation. We obtain the precise asymptotic behavior of the exterior solution at infinity. And we prove that the exterior Dirichlet problem is uniquely solvable given…
This paper addresses the problem of finding multiple near-optimal, spatially-dissimilar paths that can be considered as alternatives in the decision making process, for finding optimal corridors in which to construct a new road. We further…
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our…
This paper analyses the interplay between dissipativity and stability properties in continuous-time infinite-horizon Optimal Control Problems (OCPs). We establish several relations between these properties, which culminate in a set of…
In this paper we study the optimality of the certainty equivalence approximation in robust finite-horizon optimization problems with expected cost. We provide an algorithm for determining the subset of the state-space for which the…
We present the theoretical analysis and proofs of a recently developed algorithm that allows for optimal planning over long and infinite horizons for achieving multiple independent tasks that are partially observable and evolve over time.
In this paper we consider the two-armed bandit problem, which often naturally appears per se or as a subproblem in some multi-armed generalizations, and serves as a starting point for introducing additional problem features. The…
Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…
We study a continuous-time, finite horizon, stochastic partially reversible investment problem for a firm producing a single good in a market with frictions. The production capacity is modeled as a one-dimensional, time-homogeneous, linear…
We present two first-order, sequential optimization algorithms to solve constrained optimization problems. We consider a black-box setting with a priori unknown, non-convex objective and constraint functions that have Lipschitz continuous…
This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…
The irreducible decomposition of a unitary representation often contains continuous spectrum when restricted to a non-compact subgroup. The author singles out a nice class of branching problems where each irreducible summand occurs…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
We establish necessary conditions of optimality for discrete-time infinite-horizon optimal control in presence of constraints at infinity. These necessary conditions are in form of weak and strong Pontryagin principles. We use a functional…
In this paper we give a representation formula for the limit of the fnite horizon problem as the horizon becomes infinite, with a nonnegative Lagrangian and unbounded data. It is related to the limit of the discounted infinite horizon…
We report on some recent existence and uniqueness results for elliptic equations subject to Dirichlet boundary condition and involving a singular nonlinearity. We take into account the following types of problems: (i) singular problems with…