Author

Guodong Pang

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Preprint Sep 2026

Data-Driven Brownian Reflection Control

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 policy-relevant parameter during exploration, plugs the estimate into the optimality equation, and exploits the resulting policy---achieving...

Guo-Dong Pang, Da-Cheng Yao, Hao Yin · 0 citations

Preprint Jul 2026

Jacobi-like relative value iteration algorithms for ergodic risk-sensitive control of Markov chains

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 discrete time Markov chain (DTMC) on a finite state space. Under the assumption that the DTMC is irreducible and recurrent under every stationary...

Sumith Reddy Anugu, Guodong Pang, Nicola Sassone · 0 citations