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We consider killed Markov decision processes for countable models on a finite time-interval. Existence of a uniform $\varepsilon$-optimal policy is proven. We show the correctness of the fundamental equation. The optimal control problem is…
Considering the close interaction between spare parts logistics and maintenance planning, this paper presents a model for joint optimization of multi-location spare parts supply chain and condition-based maintenance under predictive and…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
A finite horizon optimal tracking problem is considered for linear dynamical systems subject to parametric uncertainties in the state-space matrices and exogenous disturbances. A suboptimal solution is proposed using a model predictive…
In the online packet buffering problem (also known as the unweighted FIFO variant of buffer management), we focus on a single network packet switching device with several input ports and one output port. This device forwards unit-size,…
We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…
A two-sided matching system is considered, where servers are assumed to arrive at a fixed rate, while the arrival rate of customers is modulated via a price-control mechanism. We analyse a loss model, wherein customers who are not served…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
We study the inbound supply mode and inventory management decision making for a company that sells an assortment of products. Stochastic demand for each product arrives periodically and unmet demand is backlogged. Each product has two…
Model Predictive Control (MPC) is a well-established approach to solve infinite horizon optimal control problems. Since optimization over an infinite time horizon is generally infeasible, MPC determines a suboptimal feedback control by…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
We consider the problem of a firm seeking to use personalized pricing to sell an exogenously given stock of a product over a finite selling horizon to different consumer types. We assume that the type of an arriving consumer can be observed…
We present a learning-augmented online algorithm for the preemptive FIFO buffer management problem, where packets arrive online to a finite-capacity buffer, must be transmitted in FIFO order, and the algorithm may preemptively discard…
Complex queries for massive data analysis jobs have become increasingly commonplace. Many such queries contain com- mon subexpressions, either within a single query or among multiple queries submitted as a batch. Conventional query…
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…
Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…
We study the problem of policy evaluation with linear function approximation and present efficient and practical algorithms that come with strong optimality guarantees. We begin by proving lower bounds that establish baselines on both the…
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
A well-know control policy in stochastic inventory control is the (R, s, S) policy, in which inventory is raised to an order-up-to-level S at a review instant R whenever it falls below reorder-level s. To date, little or no work has been…
We propose a novel randomized linear programming algorithm for approximating the optimal policy of the discounted Markov decision problem. By leveraging the value-policy duality and binary-tree data structures, the algorithm adaptively…