Related papers: Optimal Ordering Policy for Inventory Systems with…
This paper deals with the unconstrained and constrained cases for continuous-time Markov decision processes under the finite-horizon expected total cost criterion. The state space is denumerable and the transition and cost rates are allowed…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand…
This paper implements the Deep Deterministic Policy Gradient (DDPG) algorithm for computing optimal policies for partially observable single-product periodic review inventory control problems with setup costs and backorders. The decision…
This paper studies online optimization under inventory (budget) constraints. While online optimization is a well-studied topic, versions with inventory constraints have proven difficult. We consider a formulation of inventory-constrained…
We study an optimal-control problem of polling systems with large switchover times, when a holding cost is incurred on the queues. In particular, we consider a stochastic network with a single server that switches between several buffers…
Since its inception in the mid-60s, the inventory staggering problem has been explored and exploited in a wide range of application domains, such as production planning, stock control systems, warehousing, and aerospace/defense logistics.…
We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…
We consider a distribution warehouse where both the inbound inventory replenishment and outbound dispatch decisions are subject to fixed (as well as per-unit) transportation charges and demand is stochastic. In order to realize scale…
This paper examines the objective of optimally harvesting a single species in a stochastic environment. This problem has previously been analyzed in Alvarez (2000) using dynamic programming techniques and, due to the natural payoff…
Stochastic resetting is a driving mechanism that is known to minimize the first passage time to reach a target, at the cost of energy expenditure. The choice of the physical implementation of each resetting event determines the tradeoff…
In this paper, we study a dynamic on/off server scheduling problem in a queueing system with multi-class servers, where servers are heterogeneous and can be classified into $K$ groups. Servers in the same group are homogeneous. A scheduling…
For a general optimal control problem for dynamical systems with hybrid dynamics, we study the dependency of the optimal cost and of the value function on the initial conditions, parameters, and perturbations. We show that upper and lower…
Lost sales inventory models with large lead times, which arise in many practical settings, are notoriously difficult to optimize due to the curse of dimensionality. In this paper we show that when lead times are large, a very simple…
We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in future times as they are valued when the economic agents are…
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
We present a numerical method for generating the state-feedback control policy associated with general undiscounted, constant-setpoint, infinite-horizon, nonlinear optimal control problems with continuous state variables. The method is…
We introduce an original minimax framework for finite-time performance analysis in queueing control and propose a surprisingly simple Lyapunov-based scheduling policy with superior finite-time performance. The framework quantitatively…
We study policies aiming to minimize the weighted sum of completion times of jobs in the context of coordination mechanisms for selfish scheduling problems. Our goal is to design local policies that achieve a good price of anarchy in the…