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

In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…

This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…

We consider the problem of minimizing the supplied energy of infinite-dimensional linear port-Hamiltonian systems and prove that optimal trajectories exhibit the turnpike phenomenon towards certain subspaces induced by the dissipation of…

The paper describes a receding horizon control design framework for continuous-time stochastic nonlinear systems subject to probabilistic state constraints. The intention is to derive solutions that are implementable in real-time on…

We establish a Poincar\`E-Bendixson type result for a weighted averaged infinite horizon problem in the plane, with and without averaged constraints. For the unconstrained problem, we establish the existence of a periodic optimal solution,…

We exhibit an analogy between the problem of pushing forward measurable sets under measure preserving maps and linear relaxations in combinatorialoptimization. We show how invariance of hyperfiniteness of graphings under local isomorphism…

We show that a solution of the optimal assignment problem can be obtained as the limit of the solution of an entropy maximization problem, as a deformation parameter tends to infinity. This allows us to apply entropy maximization algorithms…

This paper is devoted to solving a real valued backward stochastic differential equation with jumps where the time horizon may be finite or infinite. Under linear growth generator, we prove existence of a minimal solution. Using a…

An iterative learning algorithm is presented for continuous-time linear-quadratic optimal control problems where the system is externally symmetric with unknown dynamics. Both finite-horizon and infinite-horizon problems are considered. It…

We establish a linear programming formulation for the solution of joint chance constrained optimal control problems over finite time horizons. The joint chance constraint may represent an invariance, reachability or reach-avoid…

Homotopy methods are attractive due to their capability of solving difficult optimisation and optimal control problems. The underlying idea is to construct a homotopy, which may be considered as a continuous (zero) curve between the…

The randomized unbiased estimators of Rhee and Glynn (Operations Research:63(5), 1026-1043, 2015) can be highly efficient at approximating expectations of path functionals associated with stochastic differential equations (SDEs). However,…

This paper investigates the behavior of sets and functions at infinity by introducing new concepts, namely directional normal cones at infinity for unbounded sets, along with limiting and singular subdifferentials at infinity in the…

We use the continuation and bifurcation package pde2path to numerically analyze infinite time horizon optimal control problems for parabolic systems of PDEs. The basic idea is a two step approach to the canonical systems, derived from…

Towards bridging classical optimal control and online learning, regret minimization has recently been proposed as a control design criterion. This competitive paradigm penalizes the loss relative to the optimal control actions chosen by a…

In this paper, Lipschitz univariate constrained global optimization problems where both the objective function and constraints can be multiextremal are considered. The constrained problem is reduced to a discontinuous unconstrained problem…

We consider problems of the calculus of variations on unbounded time scales. We prove the validity of the Euler-Lagrange equation on time scales for infinite horizon problems, and a new transversality condition.

We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…

We adopt an optimal-control framework for addressing the undiscounted infinite-horizon discrete-time restless $N$-armed bandit problem. Unlike most studies that rely on constructing policies based on the relaxed single-armed Markov Decision…

The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…