Related papers: Optimal Ordering Policy for Inventory Systems with…
We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and mathematical finance. Existing studies have shown the optimality…
We propose a formulation of the stochastic cutting stock problem as a discounted infinite-horizon Markov decision process. At each decision epoch, given current inventory of items, an agent chooses in which patterns to cut objects in stock…
We consider a stochastic lost-sales inventory control system with a lead time $L$ over a planning horizon $T$. Supply is uncertain, and is a function of the order quantity (due to random yield/capacity, etc). We aim to minimize the…
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given deadline, with the objective of minimizing the…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
The paper presents necessary and sufficient conditions for the order reduction of optimal control systems. Exploring the corresponding Hamiltonian system allows to solve the order reduction problem in terms of dynamical systems,…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
Today's global supply chains face growing challenges due to rapidly changing market conditions, increased network complexity and inter-dependency, and dynamic uncertainties in supply, demand, and other factors. To combat these challenges,…
We consider deterministic finite-horizon optimal control problems with a fixed initial state. We introduce an on-line policy iteration method, which, starting from a given policy, however obtained, generates a sequence of cost-improving…
We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…
The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…
The paper \cite{helm:17} studies an inventory management problem under a long-term average cost criterion using weak convergence methods applied to average expected occupation and average expected ordering measures. Under the natural…
This study considers a continuous-review inventory model for a single item with two replenishment modes. Replenishments may occur continuously at any time with a higher unit cost, or at discrete times governed by Poisson arrivals with a…
This paper develops near-optimal sustainable harvesting strategies for the predator in a predator-prey system. The objective function is of long-run average per unit time type. To date, ecological systems under environmental noise are…
This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…
Assortment optimization is a fundamental challenge in modern retail and recommendation systems, where the goal is to select a subset of products that maximizes expected revenue under complex customer choice behaviors. While recent advances…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit the convex analytic method and make three primary…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…