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We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is solved through the so-called Kelly criterion, according to…

In this paper, we study the problem of optimizing the size and mix of a mixed fleet of electric and conventional vehicles owned by firms providing urban freight logistics services. Uncertain customer requests are considered at the strategic…

We study stochastic combinatorial optimization problems where the objective is to minimize the expected maximum load (a.k.a.\ the makespan). In this framework, we have a set of $n$ tasks and $m$ resources, where each task $j$ uses some…

We revisit the problem of large-scale assortment optimization under the multinomial logit choice model without any assumptions on the structure of the feasible assortments. Scalable real-time assortment optimization has become essential in…

We consider an online resource allocation problem where multiple resources, each with an individual initial capacity, are available to serve random requests arriving sequentially over multiple discrete time periods. At each time period, one…

Reinforcement learning has been explored for many problems, from video games with deterministic environments to portfolio and operations management in which scenarios are stochastic; however, there have been few attempts to test these…

In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…

Stochastic production planning problems were studied in several works; the model with one production good was discussed in [3]. The extension to several economic goods is not a trivial issue as one can see from the recent works [4], [5] and…

We consider the Item Pricing problem for revenue maximization in the limited supply setting, where a single seller with $n$ items caters to $m$ buyers with unknown subadditive valuation functions who arrive in a sequence. The seller sets…

This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…

We consider an assortment optimization problem where a customer chooses a single item from a sequence of sets shown to her, while limited inventories constrain the items offered to customers over time. In the special case where all of the…

Transmission system operators employ reserves to deal with unexpected variations of demand and generation to guarantee the security of supply. The French transmission system operator RTE dynamically sizes the required margins using a…

We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional It\^{o} diffusion. The control effort that can be applied to this system takes the form that is associated with the so-called…

Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…

We consider a manufacturing plant that purchases raw materials for product assembly and then sells the final products to customers. There are M types of raw materials and K types of products, and each product uses a certain subset of raw…

The economic warehouse lot scheduling problem is a foundational inventory-theory model, capturing computational challenges in dynamically coordinating replenishment decisions for multiple commodities subject to a shared capacity constraint.…

Fighting Fantasy is a popular recreational fantasy gaming system worldwide. Combat in this system progresses through a stochastic game involving a series of rounds, each of which may be won or lost. Each round, a limited resource (`luck')…

We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…

A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…

This paper presents a novel approach to stochastic economic model predictive control (SEMPC) that minimizes average economic cost while satisfying an empirical expected shortfall (EES) constraint to manage risk. A new scenario-based problem…