Related papers: Optimality Conditions for Inventory Control
We consider discrete-time Markov Decision Processes with Borel state and action spaces and universally measurable policies. For several long-run average cost criteria, we establish the following optimality results: the optimal average cost…
This paper deals with the long run average continuous control problem of piecewise deterministic Markov processes (PDMP's) taking values in a general Borel space and with compact action space depending on the state variable. The control…
This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…
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…
We consider the constrained optimal control problem for the gradual-impulsive CTMDP model with the performance criteria being the expected total undiscounted costs (from the running cost and the cost from each time an impulse being…
This study presents a comprehensive approach to optimizing inventory management under stochastic demand by leveraging Monte Carlo Simulation (MCS) with grid search and Bayesian optimization. By using a business case of historical demand…
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…
Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
The aim of this work is to make a survey on recent sufficient optimality conditions for optimal control problems with time delays in both state and control variables. The results are obtained by transforming delayed optimal control problems…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…
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…
The paper is devoted to deriving necessary optimality conditions in a general optimal control problem for dynamical systems governed by controlled sweeping processes with hard-constrained control actions entering both polyhedral moving sets…