Optimal stopping with a probabilistic constraint

DOI10.1007/S10957-017-1183-3MaRDI QIDQ1695821zbMATH OpenOpenAlexFDO

Authors Aaron Zeff Palmer, Alexander Vladimirsky

Publication date 8 February 2018

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-017-1183-3

zbMATH Keywords

chance constraintdynamic programmingstochastic optimal controlstopping-times

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for variational inequalities and related problems (65K15) Optimal stochastic control (93E20)

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Cites work

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Cited in

(23)

• Multiple stopping time POMDPs: structural results \& application in interactive advertising on social media
• A verification theorem for optimal stopping problems with expectation constraints
• Optimal stopping and the sufficiency of randomized threshold strategies
• A dynamic programming approach to distribution-constrained optimal stopping
• Optimal stopping with information constraint
• Conditional optimal stopping: a time-inconsistent optimization
• Constrained maximum variance stopping for a finite horizon increasing random walk
• scientific article; zbMATH DE number 3896138 (Why is no real title available?)
• On optimal stopping with concave costs of observation
• Constrained dynkin's stopping problem with continuous parameter
• scientific article; zbMATH DE number 739164 (Why is no real title available?)
• scientific article; zbMATH DE number 1135816 (Why is no real title available?)
• scientific article; zbMATH DE number 1144389 (Why is no real title available?)
• scientific article; zbMATH DE number 6166689 (Why is no real title available?)
• Optimal Stopping Under Partial Observation: Near-Value Iteration
• Optimal Stopping Under Probability Distortions
• Optimal transport with controlled dynamics and free end times
• Advances in Artificial Intelligence
• Distribution-constrained optimal stopping
• Navigating uncertainties using type I sensitivity analysis for transportation problems: a mid-width technique with crisp and fuzzy scenarios
• Abstraction-based decision making for statistical properties (invited talk)
• Optimality and robustness in path-planning under initial uncertainty
• Event-based optimization approach for solving stochastic decision problems with probabilistic constraint

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