Suchergebnisse - "Dynamic Programming/optimal Control"

On the properties of monotone functionals for generalizing Bellman Principle

Autoren: Caen, Auguste Mathias, Jean-Denis Louembe, Kareen

Weitere Verfasser: Caen, Auguste Mathias, Jean-Denis Louembe, Kareen

Quelle: Automatica. 179:112418

Schlagwörter: Monotone functionals, Dynamic programming Optimal control Monotone functionals, Contrôle optimal, [INFO] Computer Science [cs], Dynamic programming, Fonctionnelles monotones, Optimal control, Programmation dynamique

Dateibeschreibung: application/pdf

Zugangs-URL: https://hal.inrae.fr/hal-05136034v1
https://doi.org/10.1016/j.automatica.2025.112418
https://hal.inrae.fr/hal-05136034v1/document

Optimal portfolio choice with path dependent benchmarked labor income: A mean field model

Autoren: Boualem Djehiche Fausto Gozzi Giovanni Zanco et al.

Weitere Verfasser: Boualem Djehiche Fausto Gozzi Giovanni Zanco et al.

Quelle: Stochastic Processes and their Applications. 145:48-85

Schlagwörter: Dynamic programming/optimal control of SDEs in infinite dimension with Mc Kean–Vlasov dynamics and state constraints, Second order Hamilton–Jacobi–Bellman equations in infinite dimension, Verification theorems and optimal feedback controls, Optimization and Control (math.OC), Life-cycle optimal portfolio with labor income following path dependent and law dependent dynamics, 0502 economics and business, 05 social sciences, 8. Economic growth, FOS: Mathematics, 1. No poverty, Mathematics - Optimization and Control, Life-cycle optimal portfolio with labor income following path dependent and law dependent dynamics, Dynamic programming/optimal control of SDEs in infinite dimension with Mc Kean–Vlasov dynamics and state constraints, Second order Hamilton–Jacobi–Bellman equations in infinite dimension, Verification theorems and optimal feedback controls

Dateibeschreibung: application/pdf; STAMPA

Zugangs-URL: http://arxiv.org/pdf/2009.03922
http://arxiv.org/abs/2009.03922

Discrete time optimal investment under model uncertainty

Autoren: Carassus, Laurence Ferhoune, Massinissa Laboratoire de Mathématiques de Reims (LMR) et al.

Weitere Verfasser: Carassus, Laurence Ferhoune, Massinissa Laboratoire de Mathématiques de Reims (LMR) et al.

Quelle: https://hal.science/hal-04844190 ; 2024.

Schlagwörter: optimal investment Knightian uncertainty nondominated model asymptotic elasticity MSC2000 subject classification : Primary: 93E20, 91B28 secondary: 91B16, 28B20 OR/MS subject classification : Primary: utility/preference: theory, dynamic programming/optimal control secondary: finance: portfolio, optimal investment, Knightian uncertainty, nondominated model, asymptotic elasticity MSC2000 subject classification : Primary: 93E20, 91B28, secondary: 91B16, dynamic programming/optimal control, secondary: finance: portfolio, [MATH]Mathematics [math]

Relation: info:eu-repo/semantics/altIdentifier/arxiv/2307.11919; ARXIV: 2307.11919

Verfügbarkeit: https://hal.science/hal-04844190
https://hal.science/hal-04844190v1/document
https://hal.science/hal-04844190v1/file/CarassusFerhouneRUM.pdf

An Extended McKean–Vlasov Dynamic Programming Approach to Robust Equilibrium Controls Under Ambiguous Covariance Matrix

Autoren: Qian Lei Chi Seng Pun School of Physical and Mathematical Sciences

Weitere Verfasser: Qian Lei Chi Seng Pun School of Physical and Mathematical Sciences

Quelle: Applied Mathematics & Optimization. 88

Schlagwörter: Mathematics [Science], Dynamic Programming/optimal Control, Time Inconsistency, 0101 mathematics, 01 natural sciences

Dateibeschreibung: application/pdf

Zugangs-URL: https://hdl.handle.net/10356/173049

Sales Effort Management Under All-or-Nothing Constraint

Autoren: Longyuan Du Ming Hu Jiahua Wu

Quelle: Management Science. 68:5109-5126

Schlagwörter: Technology, Operations Research, applications, revenue management, COMPENSATION PLANS, 0211 other engineering and technologies, Social Sciences, 02 engineering and technology, ALLOCATION, DEVELOPMENT COMPETITION, Business & Economics, dynamic programming-optimal control, 0502 economics and business, Tourism and Services, Science & Technology, salesforce, 15 Commerce, Management, Tourism and Services, Operations Research & Management Science, 05 social sciences, CONTESTS, Management, all-or-nothing constraint, marketing, 08 Information and Computing Sciences, 15 Commerce, REVENUE MANAGEMENT

Zugangs-URL: https://pubsonline.informs.org/doi/10.1287/mnsc.2021.4142
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3506499
http://hdl.handle.net/10044/1/89560

On the One-Dimensional Optimal Switching Problem

Autoren: Bayraktar, Erhan Egami, Masahiko

Quelle: Mathematics of Operations Research, 2010 Feb 01. 35(1), 140-159.

Zugangs-URL: https://www.jstor.org/stable/40538421

Online Markov Decision Processes

Autoren: Even-Dar, Eyal Kakade, Sham. M. Mansour, Yishay

Quelle: Mathematics of Operations Research, 2009 Aug 01. 34(3), 726-736.

Zugangs-URL: https://www.jstor.org/stable/40538442

Importance Sampling for Weighted-Serve-the-Longest-Queue

Autoren: Dupuis, Paul Leder, Kevin Wang, Hui

Quelle: Mathematics of Operations Research, 2009 Aug 01. 34(3), 642-660.

Zugangs-URL: https://www.jstor.org/stable/40538436

Partially Observed Markov Decision Process Multiarmed Bandits—Structural Results

Autoren: Krishnamurthy, Vikram Wahlberg, Bo

Quelle: Mathematics of Operations Research, 2009 May 01. 34(2), 287-302.

Zugangs-URL: https://www.jstor.org/stable/40538383

An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time

Autoren: Kuhn, Daniel

Quelle: Mathematics of Operations Research, 2009 May 01. 34(2), 428-444.

Zugangs-URL: https://www.jstor.org/stable/40538391

A Generalized Gittins Index for a Class of Multiarmed Bandits with General Resource Requirements

Autoren: Glazebrook, K. D. Minty, R.

Quelle: Mathematics of Operations Research, 2009 Feb 01. 34(1), 26-44.

Zugangs-URL: https://www.jstor.org/stable/40538363

A Learning Algorithm for Risk-Sensitive Cost

Autoren: Basu, Arnab Bhattacharyya, Tirthankar Borkar, Vivek S.

Quelle: Mathematics of Operations Research, 2008 Nov 01. 33(4), 880-898.

Zugangs-URL: https://www.jstor.org/stable/25578094

Optimal Stopping of Linear Diffusions with Random Discounting

Autoren: Dayanik, Savas

Quelle: Mathematics of Operations Research, 2008 Aug 01. 33(3), 645-661.

Zugangs-URL: https://www.jstor.org/stable/25151877

Bayesian Sequential Change Diagnosis

Autoren: Dayanik, Savas Goulding, Christian Poor, H. Vincent

Quelle: Mathematics of Operations Research, 2008 May 01. 33(2), 475-496.

Zugangs-URL: https://www.jstor.org/stable/25151866

An Analysis of Monotone Follower Problems for Diffusion Processes

Autoren: Bayraktar, Erhan Egami, Masahiko

Quelle: Mathematics of Operations Research, 2008 May 01. 33(2), 336-350.

Zugangs-URL: https://www.jstor.org/stable/25151859

Optimal Multiple Stopping of Linear Diffusions

Autoren: Carmona, René Dayanik, Savas

Quelle: Mathematics of Operations Research, 2008 May 01. 33(2), 446-460.

Zugangs-URL: https://www.jstor.org/stable/25151864

On near Optimality of the Set of Finite-State Controllers for Average Cost POMDP

Autoren: Yu, Huizhen Bertsekas, Dimitri P.

Quelle: Mathematics of Operations Research, 2008 Feb 01. 33(1), 1-11.

Zugangs-URL: https://www.jstor.org/stable/25151838

An Infinite-Dimensional Linear Programming Algorithm for Deterministic Semi-Markov Decision Processes on Borel Spaces

Autoren: Klabjan, Diego Adelman, Daniel

Quelle: Mathematics of Operations Research, 2007 Aug 01. 32(3), 528-550.

Zugangs-URL: https://www.jstor.org/stable/25151808

Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

Autoren: Dupuis, Paul Wang, Hui

Quelle: Mathematics of Operations Research, 2007 Aug 01. 32(3), 723-757.

Zugangs-URL: https://www.jstor.org/stable/25151821

A Multiperiod Newsvendor Problem with Partially Observed Demand

Autoren: Bensoussan, Alain Çakanyildirim, Metin Sethi, Suresh P.

Quelle: Mathematics of Operations Research, 2007 May 01. 32(2), 322-344.

Zugangs-URL: https://www.jstor.org/stable/25151792