most citedSimultaneous Inference for Time Series Functional Linear Regression

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math.OC2024

Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems

Yu-Jui Huang, Zhenhua Wang, Zhou Zhou

For a general entropy-regularized stochastic control problem on an infinite horizon, we prove that a policy iteration algorithm (PIA) converges to an optimal relaxed control. Contr…

math.OC2024

Relaxed Equilibria for Time-Inconsistent Markov Decision Processes

Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1

This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…