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7 papers · 2 filters
Graphical Derivatives and Stability Analysis for Parameterized Equilibria with Conic Constraints
Boris Mordukhovich, Jiri Outrata, Hector Ramirez
The paper concerns parameterized equilibria governed by generalized equations whose multivalued parts are modeled via regular normals to nonconvex conic constraints. Our main goal…
Adaptive Search Algorithms for Discrete Stochastic Optimization: A Smooth Best-Response Approach
Omid Namvar Gharehshiran, Vikram Krishnamurthy, George Yin
This paper considers simulation-based optimization of the performance of a regime-switching stochastic system over a finite set of feasible configurations. Inspired by the stochast…
A Mean-Variance Control Framework for Platoon Control Problems: Weak Convergence Results and Applications on Reduction of Complexity
Zhixin Yang, G. Yin, Le Yi Wang +1
This paper introduces a new approach of treating platoon systems using mean-variance control formulation. The underlying system is a controlled switching diffusion in which the ran…
Mean-Variance Type Controls Involving a Hidden Markov Chain: Models and Numerical Approximation
Zhixin Yang, George Yin, Qing Zhang
Motivated by applications arising in networked systems, this work examines controlled regime-switching systems that stem from a mean-variance formulation. A main point is that the…
Near-Optimal Mean-Variance Controls under Two-time-scale Formulations and Applications
Zhixin Yang, G. Yin, Le Yi Wang +1
Although the mean-variance control was initially formulated for financial portfolio management problems in which one wants to maximize expected return and control the risk, our mot…
Stability of Nonlinear Regime-switching Jump Diffusions
Zhixin Yang, G. Yin
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such no…