Related papers: Single item stochastic lot sizing problem consider…
Managing stock efficiently remains a core issue in modern logistics, where companies must reconcile cost efficiency with dependable service despite unpredictable market conditions. Conventional models often overlook the direct connection…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
Motivated by applications in online marketplaces such as ride-hailing, we study how strategic servers impact the system performance. We consider a discrete-time process in which, heterogeneous types of customers and servers arrive. Each…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We provide a unifying approximate dynamic programming framework that applies to a broad variety of problems involving sequential estimation. We consider first the construction of surrogate cost functions for the purposes of optimization,…
This paper analyzes a service system modeled as a single-server queue, in which the service provider aims to dynamically maximize the expected revenue per unit of time. This is achieved by constructing a stochastic gradient descent…
The goal of this paper is to set a constraint programming framework to solve lot-sizing problems. More specifically, we consider a single-item lot-sizing problem with time-varying lower and upper bounds for production and inventory. The…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
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…
We consider assortment and inventory planning problems with dynamic stockout-based substitution effects, and without replenishment, in two different settings: (1) Customers can see all available products when they arrive, a typical scenario…
Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
The paper investigates stochastic resource allocation problems with scarce, reusable resources and non-preemtive, time-dependent, interconnected tasks. This approach is a natural generalization of several standard resource management…
We present the Integrated Size and Price Optimization Problem (ISPO) for a fashion discounter with many branches. Based on a two-stage stochastic programming model with recourse, we develop an exact algorithm and a production-compliant…
Optimal control problems can be solved via a one-shot (single) optimization or a sequence of optimization using dynamic programming (DP). However, the computation of their global optima often faces NP-hardness, and thus only locally optimal…
In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must be nonnegative, we prove that a…
Competitive analysis of online algorithms has commonly been applied to understand the behaviour of real-time systems during overload conditions. While competitive analysis provides insight into the behaviour of certain algorithms, it is…
The assortment planning problem is a central piece in the revenue management strategy of any company in the retail industry. In this paper, we study a robust assortment optimization problem for substitutable products under a sequential…
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic…
We consider {\em profit-maximization} problems for {\em combinatorial auctions} with {\em non-single minded valuation functions} and {\em limited supply}. We obtain fairly general results that relate the approximability of the…