Related papers: Optimal Digital Product Maintenance with a Continu…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
The emerging computing continuum paves the way for exploiting multiple computing devices, ranging from the edge to the cloud, to implement the control algorithm. Different computing units over the continuum are characterized by different…
Robust data-driven controllers typically rely on datasets from previous experiments, which embed information on the variability of the system parameters across past operational conditions. Complementarily, data collected online can…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
Correctly estimating how demand respond to prices is fundamental for airlines willing to optimize their pricing policy. Under some conditions, these policies, while aiming at maximizing short term revenue, can present too little price…
Data regulations increasingly enable consumers to switch among market segments, making segmentation an endogenous outcome of strategic interaction. We study a model in which consumers choose segments before a monopolist sets…
The global production of electric goods is at an all-time high, causing negative environmental and health impacts as well as a continuing depletion of natural resources. Considering the worsening global climate change, a transition of…
A product line approach can save valuable resources by reusing artifacts. Especially for software artifacts, the reuse of existing components is highly desirable. In recent literature, the creation of software product lines is mainly…
We consider the design of wireless queueing network control policies with particular focus on combining stability with additional application-dependent requirements. Thereby, we consequently pursue a cost function based approach that…
The importance of content delivery networks (CDN) continues to rise with the exponential increase in the generation and consumption of electronic media. In order to ensure a high quality of experience, CDNs often deploy cache servers that…
The Network Revenue Management (NRM) problem is a well-known challenge in dynamic decision-making under uncertainty. In this problem, fixed resources must be allocated to serve customers over a finite horizon, while customers arrive…
In this work, we study the guaranteed delivery model which is widely used in online display advertising. In the guaranteed delivery scenario, ad exposures (which are also called impressions in some works) to users are guaranteed by…
We consider a high-dimensional dynamic pricing problem under non-stationarity, where a firm sells products to $T$ sequentially arriving consumers that behave according to an unknown demand model with potential changes at unknown times. The…
We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…
In this paper, we address tracking of a time-varying parameter with unknown dynamics. We formalize the problem as an instance of online optimization in a dynamic setting. Using online gradient descent, we propose a method that sequentially…
When providing frequency regulation in a pay-for-performance market, batteries need to carefully balance the trade-off between following regulation signals and their degradation costs in real-time. Existing battery control strategies either…
The proliferation of diverse, high-leverage trading instruments in modern financial markets presents a complex, "noisy" environment, leading to a critical question: which trading strategies are evolutionarily viable? To investigate this, we…
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…