Related papers: A Weak Convergence Approach to Inventory Control U…
Inventory management in warehouses directly affects profits made by manufacturers. Particularly, large manufacturers produce a very large variety of products that are handled by a significantly large number of retailers. In such a case, the…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
Diffusion models are vastly used in generative AI, leveraging their capability to capture complex data distributions. However, their potential remains largely unexplored in the field of resource allocation in wireless networks. This paper…
We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…
Stochastic policies (also known as relaxed controls) are widely used in continuous-time reinforcement learning algorithms. However, executing a stochastic policy and evaluating its performance in a continuous-time environment remain open…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
In this paper, an attempt has been made to develop a simple leakage inventory model without shortages with instantaneous or finite production rate under fuzzy environment. In the present day scenario, it is difficult to decide the exact…
Consider a storage system where the content is driven by a Brownian motion absent control. At any time, one may increase or decrease the content at a cost proportional to the amount of adjustment. A decrease of the content takes effect…
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
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.…
This paper implements the Deep Deterministic Policy Gradient (DDPG) algorithm for computing optimal policies for partially observable single-product periodic review inventory control problems with setup costs and backorders. The decision…
We propose a general variance reduction strategy for diffusion processes. Our approach does not require the knowledge of the measure that is sampled, which may indeed be unknown as for nonequilibrium dynamics in statistical physics. We show…
In this paper, we study optimal control problems for multiclass GI/M/n+M queues in an alternating renewal (up-down) random environment in the Halfin-Whitt regime. Assuming that the downtimes are asymptotically negligible and only the…
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by…
Manipulation of large objects over long horizons (such as carts in a warehouse) is an essential skill for deployable robotic systems. Large objects require mobile manipulation which involves simultaneous manipulation, navigation, and…
We study a supply chain consisting of production-inventory systems at several locations which are coupled by a common supplier. Demand of customers arrives at each production system according to a Poisson process and is lost if the local…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…