8 papers
Data-Driven Brownian Reflection Control
Guodong Pang, Dacheng Yao, Hao Yin
We study a data-driven reflection control problem for a Brownian model with unknown drift and volatility. We first propose a learn-then-optimize (LTO) algorithm: it estimates the p…
Jacobi-like relative value iteration algorithms for ergodic risk-sensitive control of Markov chains
Sumith Reddy Anugu, Guodong Pang, Nicola Sassone
We propose a Jacobi-like relative value iteration (RVI) algorithm and a Gauss-Seidel-like implementation for the ergodic risk-sensitive control (ERSC) problem of a controlled discr…
Exponential rate of convergence of relative value iteration algorithms for ergodic controls of diffusions
Sumith Reddy Anugu, Guodong Pang
In this paper, we investigate the rate of convergence of the relative value iteration (RVI) algorithms for diffusions in under both the conventional ergodic cost (CE…
Ergodic Risk Sensitive Control of Diffusions under a General Structural Hypothesis
Sumith Reddy Anugu, Guodong Pang
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space in…
Sample Path Moderate Deviation Principle for Queues with Waiting-time Dependent Interarrival and Service Times
Chang Feng, John J. Hasenbein, Guodong Pang
We consider a single-server queue where interarrival and service times depend linearly and randomly on customer waiting times, and establish a sample-path moderate deviation princi…
Queueing models with random resetting
Dongzhou Huang, Guodong Pang, Izabella Stuhl +1
We introduce and study some queueing models with random resetting, including Markovian and non--Markovian models under the first-come first-served (FCFS) discipline. The Markovian…