Related papers: Optimality Conditions for Inventory Control
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
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 consider the problem of minimizing a certainty equivalent of the total or discounted cost over a finite and an infinite time horizon which is generated by a Partially Observable Markov Decision Process (POMDP). The certainty equivalent…
The paper deals with a problem of control of a system characterized by the fact that the influence of controls on the dynamics of certain functions of state variables (called observables) is relatively weak and the rates of change of these…
Necessary conditions for high-order optimality in smooth nonlinear constrained optimization are explored and their inherent intricacy discussed. A two-phase minimization algorithm is proposed which can achieve approximate first-, second-…
Markov automata combine non-determinism, probabilistic branching, and exponentially distributed delays. This compositional variant of continuous-time Markov decision processes is used in reliability engineering, performance evaluation and…
In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…
Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these…
This paper studies the optimization of observation channels (stochastic kernels) in partially observed stochastic control problems. In particular, existence and continuity properties are investigated mostly (but not exclusively)…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
In this paper, we consider the problem of optimizing the worst-case behavior of a partially observed system. All uncontrolled disturbances are modeled as finite-valued uncertain variables. Using the theory of cost distributions, we present…
Under mild Markov assumptions, sufficient conditions for strict minimax optimality of sequential tests for multiple hypotheses under distributional uncertainty are derived. First, the design of optimal sequential tests for simple hypotheses…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
Most recent advances in machine learning and analytics for process control pose the question of how to naturally integrate new data-driven methods with classical process models and control. We propose a process modeling framework enabling…
This work concerns controlled Markov chains with finite state and action spaces. The transition law satisfies the simultaneous Doeblin condition, and the performance of a control policy is measured by the (long-run) risk-sensitive average…
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…
In this paper, we consider the problem of multi-objective optimal control of a dynamical system with additive and multiplicative noises with given second moments and arbitrary probability distributions. The objectives are given by quadratic…
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…
The purpose of this paper is to establish first and second order necessary optimality conditions for optimal control problems of stochastic evolution equations with control and state constraints. The control acts both in the drift and…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…