Related papers: A Weak Convergence Approach to Inventory Control U…
Managing perishable products with limited lifetimes is a fundamental challenge in inventory management, as poor ordering decisions can quickly lead to stockouts or excessive waste. We study a perishable inventory system with random lead…
We extend a generalized integral fluctuation relation in diffusion processes that we obtained previously to the situation with feedback control. The general relation not only covers existing results but also predicts other unnoticed…
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…
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…
We give general conditions for the central limit theorem and weak convergence to Brownian motion (the weak invariance principle / functional central limit theorem) to hold for observables of compact group extensions of nonuniformly…
We consider a controlled double-ended queue consisting of two classes of customers, labeled sellers and buyers. The sellers and buyers arrive in a trading market according to two independent renewal processes. Whenever there is a seller and…
We propose a general strategy for solving nonlinear integro-differential evolution problems with periodic boundary conditions, where no direct maximum/minimum principle is available. This is motivated by the study of recent macroscopic…
Classical stochastic control assumes perfect knowledge of the uncertainty affecting the plant. In practice, however, such information is often incomplete. To address this limitation, we consider a distributionally robust control (DRC)…
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…
The problem of continuous inverse optimal control (over finite time horizon) is to learn the unknown cost function over the sequence of continuous control variables from expert demonstrations. In this article, we study this fundamental…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
In this article, we consider the deterministic impulsively controlled system with infinite horizon and several discounted objective functionals. The constructed optimal control problem with functional constraints is reformulated as a Markov…
This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded.…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
Robust control seeks stabilizing policies that perform reliably under adversarial disturbances, with $\mathcal{H}_\infty$ control as a classical formulation. It is known that policy optimization of robust $\mathcal{H}_\infty$ control…