Related papers: Cash-Flow Based Dynamic Inventory Management
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…
Based on economic theories and integrated with machine learning technology, this study explores a collaborative Supply Chain Management and Financial Supply Chain Management (SCM - FSCM) model to solve issues like efficiency loss, financing…
A coflow is a collection of parallel flows belonging to the same job. It has the all-or-nothing property: a coflow is not complete until the completion of all its constituent flows. In this paper, we focus on optimizing \emph{coflow-level…
Dual-sourcing inventory systems, in which one supplier is faster (i.e. express) and more costly, while the other is slower (i.e. regular) and cheaper, arise naturally in many real-world supply chains. These systems are notoriously difficult…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
We study a wholesale supply chain ordering problem. In this problem, the supplier has an initial stock, and faces an unpredictable stream of incoming orders, making real-time decisions on whether to accept or reject each order. What makes…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
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…
The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…
Competitive analysis of online algorithms has commonly been applied to understand the behaviour of real-time systems during overload conditions. While competitive analysis provides insight into the behaviour of certain algorithms, it is…
In this paper, we develop mixed integer linear programming models to compute near-optimal policy parameters for the non-stationary stochastic lot sizing problem under Bookbinder and Tan's static-dynamic uncertainty strategy. Our models…
We present an analysis of large-scale load balancing systems, where the processing time distribution of tasks depends on both the task and server types. Our study focuses on the asymptotic regime, where the number of servers and task types…
This paper shows a comprehensive analysis of three algorithms (Time Series, Random Forest (RF) and Deep Reinforcement Learning) into three inventory models (the Lost Sales, Dual-Sourcing and Multi-Echelon Inventory Model). These…
This paper studies the fill probabilities of limit orders placed at different price levels in a limit order book. These probabilities play a central role in execution optimization, as limit orders are not guaranteed to be executed and…
Efficient allocation of resources to activities is pivotal in executing business processes but remains challenging. While resource allocation methodologies are well-established in domains like manufacturing, their application within…
This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…
The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…
We consider the dynamic inventory problem with non-stationary demands. It has long been known that non-stationary (s, S) policies are optimal for this problem. However, finding optimal policy parameters remains a computational challenge as…
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout…