On time-inconsistent stochastic control in continuous time
Sign Up to like & getrecommendations! Published in 2017 at "Finance and Stochastics"
DOI: 10.1007/s00780-017-0327-5
Abstract: In this paper, which is a continuation of the discrete-time paper (Björk and Murgoci in Finance Stoch. 18:545–592, 2004), we study a class of continuous-time stochastic control problems which, in various ways, are time-inconsistent in… read more here.
Keywords: stochastic control; time; study; finance ... See more keywords
Trading revenue, reputation and trade secrets: a stochastic control framework for business operation
Sign Up to like & getrecommendations! Published in 2020 at "Operational Research"
DOI: 10.1007/s12351-017-0323-8
Abstract: In this electronic era, most businesses, especially e-businesses like IT services, business process outsourcing (BPO), online merchants etc. maintain details of daily operations and customer feedback. Relations between different business parameters can be learned from… read more here.
Keywords: business; stochastic control; term; reputation ... See more keywords
Stochastic control of wave energy converters for optimal power absorption with constrained control force
Sign Up to like & getrecommendations! Published in 2019 at "Applied Ocean Research"
DOI: 10.1016/j.apor.2019.03.002
Abstract: Abstract This paper presents an analytical solution derived for optimal control of the power take-off of a single-degree of freedom heave point absorber with constraints on the control force. The optimal control law turns out… read more here.
Keywords: stochastic control; control; power; control force ... See more keywords
Stochastic control of wave energy converters with constrained displacements for optimal power absorption
Sign Up to like & getrecommendations! Published in 2019 at "Applied Ocean Research"
DOI: 10.1016/j.apor.2019.04.022
Abstract: Abstract An semi-analytical solution is derived for the optimal control of the power take-off of a single-degree of freedom heave point absorber with constraints on the displacement. At first the control force is derived during… read more here.
Keywords: wave energy; stochastic control; control; power ... See more keywords
On a class of singular stochastic control problems for reflected diffusions
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2019.01.004
Abstract: Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for a general… read more here.
Keywords: stochastic control; control; reflected diffusions; class ... See more keywords
Finite element approximations for stochastic control problems with unbounded state space
Sign Up to like & getrecommendations! Published in 2024 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2024.64
Abstract: Abstract A numerical method is proposed for a class of one-dimensional stochastic control problems with unbounded state space. This method solves an infinite-dimensional linear program, equivalent to the original formulation based on a stochastic differential… read more here.
Keywords: problems unbounded; unbounded state; state space; finite element ... See more keywords
Optimal preview control for a linear continuous-time stochastic control system in finite-time horizon
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Systems Science"
DOI: 10.1080/00207721.2016.1160456
Abstract: ABSTRACT This paper discusses the design of the optimal preview controller for a linear continuous-time stochastic control system in finite-time horizon, using the method of augmented error system. First, an assistant system is introduced for… read more here.
Keywords: system; control; stochastic control; time ... See more keywords
Singular stochastic control model for algae growth management in dam downstream
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Biological Dynamics"
DOI: 10.1080/17513758.2018.1436197
Abstract: ABSTRACT A stochastic control model for finding an ecologically sound, fit-for-purpose dam operation policy to suppress bloom of attached algae in its downstream is presented. A singular exactly solvable and a more realistic regular-singular cases… read more here.
Keywords: downstream; control model; stochastic control; algae growth ... See more keywords
Stochastic control of single-species population dynamics model subject to jump ambiguity
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Biological Dynamics"
DOI: 10.1080/17513758.2020.1811408
Abstract: A logistic type stochastic control model for cost-effective single-species population management subject to an ambiguous jump intensity is presented based on the modern multiplier-robust formulation. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation for finding the optimal control is… read more here.
Keywords: jump; term; control; stochastic control ... See more keywords
On Local Entropy, Stochastic Control, and Deep Neural Networks
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Control Systems Letters"
DOI: 10.1109/lcsys.2022.3189927
Abstract: In this letter, we connect some recent papers on smoothing of energy landscapes and scored-based generative models of machine learning to classical work in stochastic control. We clarify these connections providing rigorous statements and representations… read more here.
Keywords: deep neural; control; control deep; entropy stochastic ... See more keywords
Enhancing Data-Driven Stochastic Control via Bundled Interval MDP
Sign Up to like & getrecommendations! Published in 2024 at "IEEE Control Systems Letters"
DOI: 10.1109/lcsys.2024.3417852
Abstract: The abstraction of dynamical systems is a powerful tool that enables the design of feedback controllers using a correct-by-design framework. We investigate a novel scheme to obtain data-driven abstractions of discrete-time stochastic processes in terms… read more here.
Keywords: driven stochastic; control; enhancing data; data driven ... See more keywords