Optimal monitoring and control under state uncertainty: Application to lionfish management

Optimal cash management under uncertainty

We solve an agent’s optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain explicitly the optimal transaction policy.

Minimum Regret Approach to Network Management under Uncertainty with Application to Connection Admission Control and Routing

This paper proposes a framework for network management intended to balance network performance under normal steady operational conditions with robustness under non-steady, and/or adverse conditions. Working in conjunction with anomaly and/or intrusion detection, the proposed framework allows the network to develop a set of measured responses to possible anomalies and external threats by minimiz...

Optimal Decision-Making under Uncertainty - Application to Power Transmission Investments

Investment could be defined as the act of incurring immediate costs with the expectation of future returns. An investment project, as every asset has a value. Thus, for successfully investing in and managing these assets is crucial not only recognizing what the value is but also the sources of this value (Damodaran, 2002). Most investment decisions share three important characteristics in diffe...

Optimal Control under State Constraints

Optimal control under state constraints has brought new mathematical challenges that have led to new techniques and new theories. We survey some recent results related to issues of regularity of optimal trajectories, optimal controls and the value function, and discuss optimal synthesis and necessary optimality conditions. We also show how abstract inverse mapping theorems of set-valued analysi...

LQG optimal control system design under plant perturbation and noise uncertainty : A state-space approach