Related papers: A Weak Convergence Approach to Inventory Control U…
We study a single-server Markovian queueing model with $N$ customer classes in which priority is given to the shortest queue. Under a critical load condition, we establish the diffusion limit of the workload and queue length processes in…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
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…
We consider a periodic review inventory control problem having an underlying modulation process that affects demand and that is partially observed by the uncensored demand process and a novel additional observation data (AOD) process. We…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
We study the problem of forecasting the number of units fulfilled (or ``drained'') from each inventory warehouse to meet customer demand, along with the associated outbound shipping costs. The actual drain and shipping costs are determined…
We study the cyclic inventory routing problem that involves joint decisions on vehicle routing and inventory replenishment on an infinite, cyclic horizon. It considers a single warehouse and a set of geographically dispersed retailers. We…
Small-to-medium size enterprises (SMEs), including many startup firms, need to manage interrelated flows of cash and inventories of goods. In this paper, we model a firm that can finance its inventory (ordered or manufactured) with loans in…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
Diffusion models have become popular for policy learning in robotics due to their ability to capture high-dimensional and multimodal distributions. However, diffusion policies are stochastic and typically trained offline, limiting their…
In this paper we consider storage and inventory systems. Our aim is to apply and review main results of the fluctuation theory of stochastic processes in the context of storage and inventory modeling. We describe systems where the inflow is…
Model-based reinforcement learning methods often use learning only for the purpose of estimating an approximate dynamics model, offloading the rest of the decision-making work to classical trajectory optimizers. While conceptually simple,…
The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit the convex analytic method and make three primary…
In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted L\'evy process and the ruin time is considered with Parisian delay. Presence of the transaction costs…
This paper studies a stylized model of local interaction where agents choose from an ever increasing set of vertically ranked actions, e.g. technologies. The driving forces of the model are infrequent upward shifts (``updates''), followed…
We study a dynamic scheduling problem for a multi-class queueing network with a large pool of statistically identical servers. The arrival processes are Poisson, and service times and patience times are assumed to be exponentially…
A key challenge in inventory management is to identify policies that optimally replenish inventory from multiple suppliers. To solve such optimization problems, inventory managers need to decide what quantities to order from each supplier,…
We consider the problem of forecasting the aggregate demand of a pool of price-responsive consumers of electricity. The price-response of the aggregation is modeled by an optimization problem that is characterized by a set of marginal…
We consider singular control in inventory management under Knightian uncertainty, where decision makers have a smooth ambiguity preference over Gaussian-generated priors. We demonstrate that continuous-time smooth ambiguity is the…