Related papers: A Weak Convergence Approach to Inventory Control U…
In this paper we address the problem of learning and backtesting inventory control policies in the presence of general arrival dynamics -- which we term as a quantity-over-time arrivals model (QOT). We also allow for order quantities to be…
This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers…
We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process. General existence and uniqueness theorem is illustrated by the Vasicek and so-called invariant interval…
Since its inception in the mid-60s, the inventory staggering problem has been explored and exploited in a wide range of application domains, such as production planning, stock control systems, warehousing, and aerospace/defense logistics.…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a…
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired…
We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…
We consider a general class of high-volume, fast-moving production-inventory systems based on both lost-sales and backorder inventory models. Such systems require a fundamental understanding of the asymptotic behavior of key performance…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
Industrial refrigeration systems have substantial energy needs, but optimizing their operation remains challenging due to the tension between minimizing energy costs and meeting strict cooling requirements. Load shifting--strategic…
The paper studies approximations and control of a processor sharing (PS) server where the service rate depends on the number of jobs occupying the server. The control of such a system is implemented by imposing a limit on the number of jobs…
We study a competitive online optimization problem with multiple inventories. In the problem, an online decision maker seeks to optimize the allocation of multiple capacity-limited inventories over a slotted horizon, while the allocation…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…