Optimal control under uncertainty and Bayesian parameters adjustments

DOI10.1137/16M1070815zbMATH Open1386.49039arXiv1604.06340WikidataQ130120392 ScholiaQ130120392MaRDI QIDQ4608239FDOQ4608239

Ngoc Minh Dang, Nicolas Baradel, Bruno Bouchard

Publication date: 16 March 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the classical Bayesian rule after each impulse. Taking these progressive prior-adjustments into account, we characterize the optimal policy through a quasi-variational parabolic equation, which can be solved numerically. The derivation of the dynamic programming equation seems to be new in this context. The main difficulty lies in the nature of the set of controls which depends in a non trivial way on the initial data through the filtration itself.

Full work available at URL: https://arxiv.org/abs/1604.06340

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zbMATH Keywords

uncertaintyBayesian filteringoptimal impulse control problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

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Cited In (6)

• Optimal inventory management and order book modeling
• Optimal control under uncertainty: application to the issue of CAT bonds
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• Classical and restricted impulse control for the exchange rate under a stochastic trend model
• On the convexity of the value function in Bayesian optimal control problems
• Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

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