Concept

Optimal stopping

Related publications (62)

Primal-Dual Contextual Bayesian Optimization for Control System Online Optimization with Time-Average Constraints

Colin Neil Jones, Yuning Jiang, Bratislav Svetozarevic, Wenjie Xu

This paper studies the problem of online performance optimization of constrained closed-loop control systems, where both the objective and the constraints are unknown black-box functions affected by exogenous time-varying contextual disturbances. A primal- ...

New York2023

Outlier-free spline spaces for isogeometric discretizations of biharmonic and polyharmonic eigenvalue problems

Espen Sande

We present outlier-free isogeometric Galerkin discretizations of eigenvalue problems related to the biharmonic and the polyharmonic operator in the univariate setting. These are Galerkin discretizations in certain spline subspaces that provide accurate app ...

Lausanne2023

Data-enabled Predictive Control for Empty Vehicle Rebalancing

Nikolaos Geroliminis, Giancarlo Ferrari Trecate, Pengbo Zhu

A critical operational challenge in Mobility-on-demand systems is the problem of imbalance between vehicle supply and passenger demand. However, conventional model-based methods require accurate parametric system models with complex nonlinear dynamics that ...

IEEE2023

Optimal Control Combining Emulation and Imitation to Acquire Physical Assistance Skills

Sylvain Calinon, Amirreza Razmjoo Fard, Teguh Santoso Lembono

paper studies exploiting action-level learning (imitation) in the optimal control problem context. Cost functions defined by the optimal control methods are similar to the goal-level learning (emulation) in animals. However, imitating the robot's or others ...

IEEE2021

Sifting through the Noise: Universal First-Order Methods for Stochastic Variational Inequalities

Volkan Cevher, Kimon Antonakopoulos, Thomas Michaelsen Pethick, Ali Kavis

We examine a flexible algorithmic framework for solving monotone variational inequalities in the presence of randomness and uncertainty. The proposed template encompasses a wide range of popular first-order methods, including dual averaging, dual extrapola ...

2021

Continuity Of Multimarginal Optimal Transport With Repulsive Cost

Maria Colombo, Federico Stra

We provide sharp conditions for the finiteness and the continuity of multimarginal optimal transport with repulsive cost, expressed in terms of a suitable concentration property of the measure. To achieve this result, we analyze the Kantorovich potentials ...

2019

A saddle point approach to an optimal boundary control problem for steady Navier-Stokes equations

Alfio Quarteroni, Andrea Manzoni

In this paper we propose a saddle point approach to solve boundary control problems for the steady Navier-Stokes equations with mixed Dirichlet-Neumann boundary conditions, both in two and three dimensions. We provide a comprehensive theoretical framework ...

AMER INST MATHEMATICAL SCIENCES-AIMS2019

Robust aircraft trajectory planning under uncertain convective environments with optimal control and rapidly developing thunderstorms

Maryam Kamgarpour

Convective weather, and thunderstorm development in particular, represents a major source of disruption, delays and safety hazards in the Air Traffic Management system. Thunderstorms are challenging to forecast and evolve on relatively rapid timescales; th ...

2019

PDE-constrained optimal control problems with uncertain parameters using SAGA

Fabio Nobile, Matthieu Claude Martin

We consider an optimal control problem for an elliptic partial differential equation (PDE) with random coefficients. The control function is a deterministic, distributed forcing term that minimizes an expected quadratic regularized loss functional. We cons ...

2018

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

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