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The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
Group-buying auction has become a popular marketing strategy in the last decade. In this paper, a stochastic model is developed for an inventory system subjects to demands from group-buying auctions. The model discussed here takes into the…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
We consider a stochastic inventory control problem under censored demands, lost sales, and positive lead times. This is a fundamental problem in inventory management, with significant literature establishing near-optimality of a simple…
Retailers use a variety of mechanisms to enable sales and delivery. A relatively new offering by companies is curbside pickup where customers purchase goods online, schedule a pickup time, and come to a pickup facility to receive their…
The proliferation of ride sharing systems is a major drive in the advancement of autonomous and electric vehicle technologies. This paper considers the joint routing, battery charging, and pricing problem faced by a profit-maximizing…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
Solutions to address the periodic review inventory control problem with nonstationary random demand, lost sales, and stochastic vendor lead times typically involve making strong assumptions on the dynamics for either approximation or…
We consider a natural dynamic staffing problem in which a decision-maker sequentially hires workers over a finite horizon to meet an unknown demand revealed at the end. Predictions about demand arrive over time and become increasingly…
We present an iterative inverse reinforcement learning algorithm to infer optimal cost functions in continuous spaces. Based on a popular maximum entropy criteria, our approach iteratively finds a weight improvement step and proposes a…
Tandem queueing systems are widely-used stochastic models that arise from many real-life service operations systems. Motivated by the desire to understand the trade-off between the performance and complexity of policies for…
In this paper we study an incomplete information optimal switching problem in which the manager only has access to noisy observations of the underlying Brownian motion $\{W_t\}_{t \geq 0}$. The manager can, at a fixed cost, switch between…
In this paper, we focus on a method based on optimal control to address the optimization problem. The objective is to find the optimal solution that minimizes the objective function. We transform the optimization problem into optimal…
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk…
This contribution considers one central aspect of experiment design in system identification. When a control design is based on an estimated model, the achievable performance is related to the quality of the estimate. The degradation in…
One often encounters the curse of dimensionality in the application of dynamic programming to determine optimal policies for controlled Markov chains. In this paper, we provide a method to construct sub-optimal policies along with a bound…
We consider a general class of high-volume, fast-moving production-inventory systems based on both lost-sales and backorder inventory models. Such systems require a fundamental understanding of the asymptotic behavior of key performance…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…