Abstract. We address the problem of continuous stochastic optimal control in the presence of hard obstacles. Due to the non-smooth character of the obstacles, the traditional appro...
ic copy available at: http://ssrn.com/abstract=1115410 Inventory Systems with Stochastic Demand and Supply: Properties and Approximations Amanda J. Schmitt Center for Transportatio...
Amanda J. Schmitt, Lawrence V. Snyder, Zuo-Jun Max...
This paper presents a new method called Transition-based RRT (T-RRT) for path planning problems in continuous cost spaces. It combines the exploration strength of the RRT algorith...
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...
This article considers the application of the unscented transformation to approximate fixed-interval optimal smoothing of continuous-time non-linear stochastic systems. The propo...