Related papers: Optimal order placement in limit order markets

Lately, personalized marketing has become important for retail/e-retail firms due to significant rise in online shopping and market competition. Increase in online shopping and high market competition has led to an increase in promotional…

There is a rising interest for studying the online benchmark as an alternative of the classical offline benchmark in online stochastic settings. Ezra, Feldman, Gravin, and Tang (SODA 2023) introduced the notion of order-competitive ratio,…

In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…

In this paper, we discuss a stochastic decision problem of optimally selecting the order in which to try $n$ opportunities that may yield an uncertain reward in the future. The motivation came out from pure curiosity, after an informal…

This paper provides threshold policies with tight guarantees for online selection with convex cost (OSCC). In OSCC, a seller wants to sell some asset to a sequence of buyers with the goal of maximizing her profit. The seller can produce…

We combine the power flow model with the proportionally fair optimization criterion to study the control of congestion within a distribution electric grid network. The form of the mathematical optimization problem is a convex second order…

We study a wholesale supply chain ordering problem. In this problem, the supplier has an initial stock, and faces an unpredictable stream of incoming orders, making real-time decisions on whether to accept or reject each order. What makes…

Motivated by distribution problems arising in the supply chain of Haleon, we investigate a discrete optimization problem that we call the "container delivery scheduling problem". The problem models a supplier dispatching ordered products…

Consider a storage area where arriving items are stored temporarily in bounded capacity stacks until their departure. We look into the problem of deciding where to put an arriving item with the objective of minimizing the maximum number of…

We characterize profit-maximizing operating strategies, over some time horizon [0,T], for an energy store which is trading in an arbitrage market. Our theory allows for leakage, operating inefficiencies, operating constraints and general…

The feeder reconfiguration problem chooses the on/off status of the switches in a distribution network in order to minimize a certain cost such as power loss. It is a mixed integer nonlinear program and hence hard to solve. A popular…

The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…

We study a problem of an online retailer who observes the unit sales of a product, and dynamically changes the retail price, in order to maximize the expected revenue. Assuming the demand of the product is price sensitive, we are interested…

We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public…

We study the secure stochastic convex optimization problem. A learner aims to learn the optimal point of a convex function through sequentially querying a (stochastic) gradient oracle. In the meantime, there exists an adversary who aims to…

Cloud computing is emerging as an important platform for business, personal and mobile computing applications. In this paper, we study a stochastic model of cloud computing, where jobs arrive according to a stochastic process and request…

We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…

When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…

This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…

In this work, we study a scenario where a publisher seeks to maximize its total revenue across two sales channels: guaranteed contracts that promise to deliver a certain number of impressions to the advertisers, and spot demands through an…