6 papers
On the set of robust sustainable thresholds for uncertain control systems
Pedro Gajardo, Cristopher Hermosilla, Athena Picarelli
In natural resource management, or more generally in the study of sustainability issues, often the objective is to maintain the state of a given system within a desirable configura…
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
Athena Picarelli, Christoph Reisinger
We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, a piecewise constant policy approximation, Euler-Maruyama…
Optimal management of pumped hydroelectric production with state constrained optimal control
Athena Picarelli, Tiziano Vargiolu
We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic opti…
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Espen R. Jakobsen, Athena Picarelli, Christoph Reisinger
In N.V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved un…
Probabilistic error analysis for some approximation schemes to optimal control problems
Athena Picarelli, Christoph Reisinger
We introduce a class of numerical schemes for optimal control problems based on a novel Markov chain approximation, which uses, in turn, a piecewise constant policy approximation,…
A level-set approach for stochastic optimal control problems under controlled-loss constraints
Geraldine Bouveret, Athena Picarelli
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value func…