Optimal control problems involve the difficult task of determining time-varying profiles through dynamic optimization. Such problems become even more complex in practical situatio...
A large number of problems in production planning and scheduling, location, transportation, finance, and engineering design require that decisions be made in the presence of uncer...
Global optimization can be used as the main component for reliable decision support systems. In this contribution, we explore numerical solution techniques for nonconvex and nondi...
— Optimal control and estimation are dual in the LQG setting, as Kalman discovered, however this duality has proven difficult to extend beyond LQG. Here we obtain a more natural...
We consider stochastic impulse control problems where the process is driven by one-dimensional diffusions. Impulse control problems are widely applied to financial engineering and...