Monotonicity of optimal solutions to finite horizon dynamic optimization problems is used to prove the existence of a forecast horizon, i.e a long enough planning horizon that ensures that a first period optimal action for the infinite horizon and the finite horizon problem agree, regardless of problem parameter changes in the tail. The existence of extremal monotone optimal solutions motivates...

This paper considers finite-horizon optimal control for multi-agent systems subject to additive Gaussiandistributed stochastic disturbance and a chance constraint. The problem is particularly difficult when agents are coupled through a joint chance constraint, which limits the probability of constraint violation by any of the agents in the system. Although prior approaches [1][2] can solve such...

In this article, a finite horizon, multi product and multi period economic order quantity like seasonal items is considered where demand rate is deterministic and known but variable in each period. The order quantities of items come in batch sizes and the end of the period order quantity and, consequently, demand of customers are zero. In addition, storage space is constrained and the problem...

Abstract—In this paper, a finite horizon H∞ control problem is solved for a class of linear quantum systems using a dynamic game approach for the case of delayed measurements. The methodology adopted involves an equivalence between the quantum problem and an auxiliary classical stochastic problem. Then, the finite horizon H∞ control problem for the class of linear quantum systems under consider...

In this paper, the finite horizon H∞ control problem is solved for a class of linear quantum systems using a dynamic game approach. The methodology adopted involves an equivalence between the quantum problem and an auxiliary classical stochastic problem. Then, by solving the finite horizon H∞ control problem for the equivalent stochastic problem using results from a corresponding deterministic ...

We show that the optimal stopping boundary for the Russian option with finite horizon can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premiumrepresentation (an explicit formula for the arbitrage-free price in terms of the optimal stopping boundary having a clear economic interpretation). The results obtained stand in a complete parall...

This paper studies Value-at-Risk problems in finite-horizon Markov decision processes (MDPs) with finite state space and two forms of reward function. Firstly we study the effect of reward function on two criteria in a short-horizon MDP. Secondly, for long-horizon MDPs, we estimate the total reward distribution in a finite-horizon Markov chain (MC) with the help of spectral theory and the centr...

Orthogonal function approach (OFA) and the hybrid Taguchi-genetic algorithm (HTGA) are used to solve quadratic finite-horizon optimal controller design problems in both a fuzzy parallel distributed compensation (PDC) controller and a non-PDC controller (linear state feedback controller) for Takagi–Sugeno (TS) fuzzy-model-based control systems for dynamic ship positioning systems (TS-DSPS). Base...

This paper addresses the common cycle multi-product lot-scheduling problem in flexible flow lines (FFL) where the product demands are deterministic and constant over a finite planning horizon. Objective is minimizing the sum of setup costs, work-in-process and final products inventory holding costs per time unite while satisfying the demands without backlogging. This problem consists of a combi...

This paper considers solving optimization problem for linear discrete time systems such that closed-loop discrete-time system is positive (i.e., all of its state variables have non-negative values) and also finite-time stable. For this purpose, by considering a quadratic cost function, an optimal controller is designed such that in addition to minimizing the cost function, the positivity proper...