Zobrazeno 1 - 10
of 304
pro vyhledávání: '"Feinberg, Eugene A."'
This paper studies discrete-time average-cost infinite-horizon Markov decision processes (MDPs) with Borel state and action sets. It introduces new sufficient conditions for validity of optimality inequalities and optimality equations for MDPs with w
Externí odkaz:
http://arxiv.org/abs/2412.01594
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined via stochas
Externí odkaz:
http://arxiv.org/abs/2311.12184
Autor:
Ding, Rui, Feinberg, Eugene A.
This paper studies optimization of the Conditional Value at Risk (CVaR) for a discounted total-cost Markov Decision Process (MDP) with finite state and action sets. This CVaR optimization problem can be reformulated as a Robust MDP(RMDP) with a compa
Externí odkaz:
http://arxiv.org/abs/2211.07288
For expectation functions on metric spaces, we provide sufficient conditions for epi-convergence under varying probability measures and integrands, and examine applications in the area of sieve estimators, mollifier smoothing, PDE-constrained optimiz
Externí odkaz:
http://arxiv.org/abs/2208.03805
This paper studies weak continuity of nonlinear filters. It is well-known that Borel measurability of transition probabilities for problems with incomplete state observations is preserved when the original discrete-time process is replaced with the p
Externí odkaz:
http://arxiv.org/abs/2207.07544
Autor:
Feinberg, Eugene A., Kraemer, David N.
This paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage capacity, and p
Externí odkaz:
http://arxiv.org/abs/2112.14898
This paper investigates continuity properties of value functions and solutions for parametric optimization problems. These problems are important in operations research, control, and economics because optimality equations are their particular cases.
Externí odkaz:
http://arxiv.org/abs/2109.06299
This paper describes the structure of solutions to Kolmogorov's equations for nonhomogeneous jump Markov processes and applications of these results to control of jump stochastic systems. These equations were studied by Feller (1940), who clarified i
Externí odkaz:
http://arxiv.org/abs/2109.05079
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important feature of th
Externí odkaz:
http://arxiv.org/abs/2108.09232
This paper studies transition probabilities from a Borel subset of a Polish space to a product of two Borel subsets of Polish spaces. For such transition probabilities it introduces and studies the property of semi-uniform Feller continuity. This pap
Externí odkaz:
http://arxiv.org/abs/2107.02207