Related papers: Inventory Control with Modulated Demand and a Part…

We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state…

Limitations of CAP theorem imply that if availability is desired in the presence of network partitions, one must sacrifice sequential consistency, a consistency model that is more natural for system design. We focus on the problem of what a…

We study the offline data-driven newsvendor problem with censored demand data. In contrast to prior works where demand is fully observed, we consider the setting where demand is censored at the inventory level and only sales are observed;…

Inventory models with lost sales and large lead times have traditionally been considered intractable due to the curse of dimensionality. Recently, Goldberg and co-authors laid the foundations for a new approach to solving these models, by…

Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…

In this paper, we consider the problem of set-point tracking for a discrete-time plant with unknown plant parameters belonging to a convex and compact uncertainty set. We carry out parameter estimation for an associated auxiliary plant, and…

In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian or epistemic uncertainty. Distributionally robust optimal…

A standard way of finding a feedback law that stabilizes a control system to an operating point is to recast the problem as an infinite horizon optimal control problem. If the optimal cost and the optmal feedback can be found on a large…

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

This paper, based on the compactness-continuity and finite value conditions, establishes the sufficiency of the class of stationary policies out of the general class of history-dependent ones for a constrained continuous-time Markov…

In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…

Limitations of the CAP theorem imply that if availability is desired in the presence of network partitions, one must sacrifice sequential consistency, a consistency model that is more natural for system design. We focus on the problem of…

This paper deals with the reconstruction of the desired demand in an optimal control problem, stated over a tree-shaped transportation network which is governed by a linear hyperbolic conservation law. As desired demands typically undergo…

In this work, we consider a continuous-time inventory system where the demand process follows an inventory-dependent diffusion process. The ordering cost of each order depends on the order quantity and is given by a general function, which…

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 an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…

We consider a continuous time linear multi inventory system with unknown demands bounded within ellipsoids and controls bounded within ellipsoids or polytopes. We address the problem of "-stabilizing the inventory since this implies some…

We consider a queueing system composed of a dispatcher that routes deterministically jobs to a set of non-observable queues working in parallel. In this setting, the fundamental problem is which policy should the dispatcher implement to…

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…

A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…