Pathwise Stochastic Optimal Control
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Publication:3506540
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- Pathwise Optimality for Benchmark Tracking
- Pathwise dynamic programming
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- Approximations to stochastic dynamic programs via information relaxation duality
- An efficient gradient projection method for stochastic optimal control problems
- Empirical variance minimization with applications in variance reduction and optimal control
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- Solutions and diagnostics of switching problems with linear state dynamics
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- A first-order BSPDE for swing option pricing
- A unified approach to multiple stopping and duality
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- Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Stochastic control with rough paths
- Approximate linear programming for networks: average cost bounds
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- Numerical solutions to dynamic portfolio problems with upper bounds
- Linear-quadratic control and information relaxations
- Dual representations for general multiple stopping problems
- Algorithms for optimal control of stochastic switching systems
- Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
- Markov-Dubins path via optimal control theory
- What Next?
- Robust control of partially observable failing systems
- A multilevel approach for stochastic nonlinear optimal control
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- Stochastic switching for partially observable dynamics and optimal asset allocation
- Approximating infinite horizon stochastic optimal control in discrete time with constraints
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