Zobrazeno 1 - 10
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pro vyhledávání: '"Stettner, Lukasz"'
Autor:
Stettner, Lukasz
In the paper we study dependence of long run functionals and limit characteristics assuming that Borel measurable Markov controls converge pointwise. We consider two kinds of functionals: average cost per unit time and long run risk sensitive. We imp
Externí odkaz:
http://arxiv.org/abs/2412.00587
This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-action space. In particular, we study the robustness of optimal contro
Externí odkaz:
http://arxiv.org/abs/2406.15952
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles tends to be
Externí odkaz:
http://arxiv.org/abs/2312.05655
Autor:
Pitera, Marcin, Stettner, Łukasz
In this paper we study the problem of Multiplicative Poisson Equation (MPE) bounded solution existence in the generic discrete-time setting. Assuming mixing and boundedness of the risk-reward function, we investigate what conditions should be imposed
Externí odkaz:
http://arxiv.org/abs/2309.02829
Autor:
Jelito, Damian, Stettner, Łukasz
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the optimal value of the discounted problem is the same as the optimal val
Externí odkaz:
http://arxiv.org/abs/2306.17448
Autor:
Stettner, Łukasz
Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time problem are also optimal for average generally discounting functional. Then
Externí odkaz:
http://arxiv.org/abs/2306.14224
Autor:
Stettner, Łukasz
In the paper adapting Krein Rutman theory we show the existence of solutions to the long run risk sensitive control problem for controlled discrete time Markov processes over locally compact separable metric spaces.
Externí odkaz:
http://arxiv.org/abs/2303.17913
Autor:
Jelito, Damian, Stettner, Łukasz
Publikováno v:
Applied Mathematics & Optimization 88(24), 2023
We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and provide a verification result. The argument is based on the probabilis
Externí odkaz:
http://arxiv.org/abs/2301.04194
This paper adopts a tool from computational topology, the Euler characteristic curve (ECC) of a sample, to perform one- and two-sample goodness of fit tests. We call our procedure TopoTests. The presented tests work for samples of arbitrary dimension
Externí odkaz:
http://arxiv.org/abs/2210.14965
Autor:
Stettner, Lukasz
In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of open sets
Externí odkaz:
http://arxiv.org/abs/2205.14642