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math.OC2025
Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov and Large Interacting Particle Diffusions
Somnath Pradhan, Serdar Yuksel
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approxima…
math.OC2025
Sensitivity of Filter Kernels and Robustness Bounds to Transition and Measurement Kernel Perturbations in Partially Observable Stochastic Control
Yunus Emre Demirci, Ali Devran Kara, Serdar Yüksel
Studying the stability of partially observed Markov decision processes (POMDPs) with respect to perturbations in either transition or observation kernels is a significant problem.…
math.OC2025
Discrete-Time Approximations of Controlled Diffusions with Infinite Horizon Discounted and Average Cost
Somnath Pradhan, Serdar Yuksel
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our…