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Dynamic Credit-Collections Optimization

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On turnpike and dissipativity properties of continuous-time optimal control problems

Dominique Bonvin, Colin Neil Jones, Timm Faulwasser, Milan Korda

This paper investigates the relations between three different properties, which are of importance in optimal control problems: dissipativity of the underlying dynamics with respect to a specific supply rate, optimal operation at steady state, and the turnp ...

Pergamon-Elsevier Science Ltd2017

Corporate policies with permanent and transitory shocks

Erwan Morellec

We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate polic ...

2017

Time-Projection control on 3LP, a simple idea to deal with intermittent pushes online

Auke Ijspeert, Salman Faraji

In this article, we propose a new controller for recovering intermittent pushes during bipedal locomotion. We use 3LP as a template model which can provide closed-form solutions for state evolution. The idea behind our controller is to project the perturbe ...

2016

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This paper investigates the relations between three different properties, which are of importance in continuous-time optimal control problems: dissipativity of the underlying dynamics with respect to a specific supply rate, optimal operation at steady stat ...

2015

We consider a stylized core-periphery financial network in which links lead to the creation of projects in the outside economy but make banks prone to contagion risk. The controller seeks to maximize, under budget constraints, the value of the financial sy ...

Siam Publications2015

Areas/Paper type – 08. Integration of renewable energy in the built environment, Methodology Background – Today’s simulation technology in engineering and architecture are very impressive. As a result technology developers have a good idea of the resulting ...

2013

We consider a reach–avoid specification for a stochastic hybrid dynamical system defined as reaching a goal set at some finite time, while avoiding an unsafe set at all previous times. In contrast with earlier works which consider the target and avoid sets ...

2013

We describe a framework for analyzing probabilistic reachability and safety problems for discrete time stochastic hybrid systems within a dynamic games setting. In particular, we consider finite horizon zero-sum stochastic games in which a control has the ...

2013

This paper presents a model for the estimation of the repayment process of delinquent credit-card accounts conditional on account-specific and macroeconomic information. Based on this model we construct a dynamic collectability score (DCS). The DCS estimat ...

EPFL-CDM-MTEI2012

In this chapter an algorithm for nonlinear explicit model predictive control is presented. A low complexity receding horizon control law is obtained by approximating the optimal control law using multiscale basis function approximation. Simultaneously, fea ...

Springer London2012