Search Results - subject:"Optimal Control"

2020 MMOR best paper award

Stein, Oliver - In: Mathematical Methods of Operations Research 93 (2021) 2, pp. 209-211

Persistent link: https://www.econbiz.de/10014497488

Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces

Geiersbach, Caroline; Scarinci, Teresa - In: Computational Optimization and Applications 78 (2021) 3, pp. 705-740

For finite-dimensional problems, stochastic approximation methods have long been used to solve stochastic optimization problems. Their application to infinite-dimensional problems is less understood, particularly for nonconvex objectives. This paper presents convergence results for the...

Persistent link: https://www.econbiz.de/10014501800

A third-order weighted essentially non-oscillatory scheme in optimal control problems governed by nonlinear hyperbolic conservation laws

Frenzel, David; Lang, Jens - In: Computational Optimization and Applications 80 (2021) 1, pp. 301-320

-order numerical method for solving optimal control problems subject to scalar nonlinear hyperbolic conservation laws. It is based on … apply it to optimal control problems of tracking-type with non-smooth target states. Comparisons to common first …

Persistent link: https://www.econbiz.de/10014501990

The Dynamics of Working Hours and Wages Under Implicit Contracts

Guerrazzi, Marco; Giribone, Pier Giuseppe - 2021

In this paper, we explore the dynamics of working hours and wages in a model economy where a firm and its workforce are linked to each other by an implicit contract. Specifically, we develop a deterministic and a stochastic framework in which the firm sets its level of labour utilization by...

Persistent link: https://www.econbiz.de/10012500137

Necessary optimality conditions for a class of control problems with state constraint

Korytowski, Adam; Szymkat, Maciej - In: Games 12 (2021) 1, pp. 1-21

An elementary approach to a class of optimal control problems with pathwise state constraint is proposed. Based on … characterizations of optimal control. Two examples are discussed. …

Persistent link: https://www.econbiz.de/10013200072

An optimal control problem by a hybrid system of hyperbolic and ordinary differential equations

Arguchintsev, Alexander; Poplevko, Vasilisa - In: Games 12 (2021) 1, pp. 1-9

This paper deals with an optimal control problem for a linear system of first-order hyperbolic equations with a … simulation of some processes of chemical technology and population dynamics. Normally, general optimal control methods are used … optimal control problem for a system of ordinary differential equations. The reduction is based on non-classic exact increment …

Persistent link: https://www.econbiz.de/10013200085

Cooperative game for fish harvesting and pollution control

Goudiaby, Mouhamadou Samsidy; Dia, Ben Mansour; Diagne, … - In: Games 12 (2021) 3, pp. 1-21

This paper studies fishery strategies in lakes, seas, and shallow rivers subject to agricultural and industrial pollution. The flowing pollutants are modeled by a nonlinear differential equation in a general manner. The logistic growth model for the fish population is modified to cover the...

Persistent link: https://www.econbiz.de/10013200127

Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model

Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - In: Risks 9 (2021) 4, pp. 1-25

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...

Persistent link: https://www.econbiz.de/10013200741

Examination of interest-growth differentials and the risk of sovereign insolvency

Lindgren, Jussi - In: Risks 9 (2021) 4, pp. 1-14

dynamics. A stochastic optimal control model was developed to model public debt dynamics based on the debt accounting identity …

Persistent link: https://www.econbiz.de/10013200743

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks 9 (2021) 6, pp. 1-13

We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...

Persistent link: https://www.econbiz.de/10013200776