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The (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
Operating cloud service infrastructures requires high energy efficiency while ensuring a satisfactory service level. Motivated by data centers, we consider a workload routing and server speed control policy applicable to the system…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
We consider deterministic infinite horizon optimal control problems with nonnegative stage costs. We draw inspiration from learning model predictive control scheme designed for continuous dynamics and iterative tasks, and propose a rollout…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
Optimal control theory is applied to analyze the time-optimal solution with a single scalar control knob in a two-level quantum system without quantum decoherence. Emphasis is \change{placed} on the dependence on the maximum control…
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 periodic review stochastic inventory control in the data-driven setting where the retailer makes ordering decisions based only on historical demand observations without any knowledge of the probability distribution of the demand.…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
In this paper, we study a stock-rationing queue with two demand classes by means of the sensitivity-based optimization, and develop a complete algebraic solution to the optimal dynamic rationing policy. We show that the optimal dynamic…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…