Search Results - subject:"Control problem"

A Fixed-Point Policy-Iteration-Type Algorithm for Symmetric Nonzero-Sum Stochastic Impulse Control Games

Zabaljauregui, Diego - 2020

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has hindered their proliferation. Semi-analytical approaches make...

Persistent link: https://www.econbiz.de/10012842537

Organizational Nimbleness and Operational Policies : The Case of Optimal Control of Maintenance Under Uncertainty

Dogramaci, Ali - 2020

The speed with which an organization takes action against unplanned failure and scrapping of its capital equipment is used as a measure of organizational nimbleness. Operational decisions at the plant level are studied in the setting of the optimal control model of Kamien and Schwarz for...

Persistent link: https://www.econbiz.de/10012846531

Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem

Bensoussan, Alain - 2020

We develop a general methodology for a partially observed stochastic control problem. The dynamics is governed by a …

Persistent link: https://www.econbiz.de/10012846553

Analysis of Optimal Control Problems for Hybrid Systems with One State Variable

Reddy, Puduru Viswanadha - 2020

We study a class of discounted autonomous infinite horizon optimal control problems where the state dynamics may undergo discontinuous changes when the state crosses from one region of the state space to another. Assuming the state and control space are one-dimensional, we provide structural...

Persistent link: https://www.econbiz.de/10012848498

Multi-Period Liability Clearing via Convex Optimal Control

Barratt, Shane - 2020

liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and … therefore readily solved. For this optimal control problem, we give a number of useful and interesting convex costs and …

Persistent link: https://www.econbiz.de/10012833632

Internal and External Effects of Social Distancing in a Pandemic

Farboodi, Maryam - 2020

We use a conventional dynamic economic model to integrate individual optimization, equilibrium interactions, and policy analysis into the canonical epidemiological model. Our tractable framework allows us to represent both equilibrium and optimal allocations as a set of differential equations...

Persistent link: https://www.econbiz.de/10012836561

Adaptive Robust Control in Continuous-Time

Bhudisaksang, Theerawat - 2020

solves a stochastic control problem where the underlying uncertainty follows a jump-diffusion process and the agent does not … know the drift parameters of the process. The agent considers a set of alternative measures to make the control problem … the control problem adaptive to the arrival of new information. We use measurable selection theorems to prove the dynamic …

Persistent link: https://www.econbiz.de/10012837472

Leaving your tailings behind : environmental bonds, bankruptcy and waste cleanup

Aghakazemjourabbaf, Sara; Insley, Margaret - 2020

Persistent link: https://www.econbiz.de/10012242317

Singular control of the drift of a Brownian system

Federico, Salavatore; Ferrari, Giorgio; Schuhmann, Patrick - 2020

adjusting the drift. The resulting two-dimensional degenerate singular stochastic control problem is solved by combining …

Persistent link: https://www.econbiz.de/10012243402

A dynamic theory of spatial externalities

Boucekkine, Raouf; Fabbri, Giorgio; Federico, Salvatore; … - 2020

Persistent link: https://www.econbiz.de/10012243948