Related papers: Cash-Flow Based Dynamic Inventory Management
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii)…
We consider a distributed server system consisting of a large number of servers, each with limited capacity on multiple resources (CPU, memory, disk, etc.). Jobs with different rewards arrive over time and require certain amounts of…
We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…
This study addresses the difficulties associated with inventory management of products with stochastic demand. The objective is to find the optimal combination of order quantity and reorder point that maximizes profit while considering…
Load balancing plays a critical role in efficiently dispatching jobs in parallel-server systems such as cloud networks and data centers. A fundamental challenge in the design of load balancing algorithms is to achieve an optimal trade-off…
This paper establishes conditions for optimality of an $(s,S)$ ordering policy for the minimization of the long-term average cost of one-dimensional diffusion inventory models. The class of such models under consideration have general drift…
Due to complexity and dynamics of construction work, resource, and cash flows, poor management of them usually leads to time and cost overruns, bankruptcy, even project failure. Existing approaches in construction failed to achieve optimal…
This paper studies spatiotemporal pricing and fleet management for autonomous mobility-on-demand (AMoD) systems while taking elastic demand into account. We consider a platform that offers ride-hailing services using a fleet of autonomous…
We revisit the problem of large-scale assortment optimization under the multinomial logit choice model without any assumptions on the structure of the feasible assortments. Scalable real-time assortment optimization has become essential in…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
This paper studies convergence properties of optimal values and actions for discounted and average-cost Markov Decision Processes (MDPs) with weakly continuous transition probabilities and applies these properties to the stochastic…
We study a make-to-order system with a finite set of customers. Production is stochastic with a nonlinear dependence between the ordered quantity and the production rate. Customers may have to queue until their turn arrives, and therefore…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
Assortment optimization is a critical tool for online retailers aiming to maximize revenue. However, optimizing purely for revenue can lead to unbalanced sales across products, potentially causing a long tail of low-selling products and…
In this paper, we present long-awaited algorithmic advances toward the efficient construction of near-optimal replenishment policies for a true inventory management classic, the economic warehouse lot scheduling problem. While this paradigm…
We study a competitive online optimization problem with multiple inventories. In the problem, an online decision maker seeks to optimize the allocation of multiple capacity-limited inventories over a slotted horizon, while the allocation…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
In this paper, we model the cash surplus (or equity) of a risky business with a Brownian motion. Owners can take cash out of the surplus in the form of "dividends", subject to transaction costs. However, if the surplus hits 0 then ruin…