Related papers: Optimal inflow control penalizing undersupply in t…
We consider the problem of determining an optimal strategy for electricity injection that faces an uncertain power demand stream. This demand stream is modeled via an Ornstein-Uhlenbeck process with an additional jump component, whereas the…
In this paper, we address the task of setting up an optimal production plan taking into account an uncertain demand. The energy system is represented by a system of hyperbolic partial differential equations (PDEs) and the uncertain demand…
In this article, we consider transport networks with uncertain demands. Network dynamics are given by linear hyperbolic partial differential equations and suitable coupling conditions, while demands are incorporated as solutions to…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
In this paper, we investigate how to achieve the unpredictability against malicious inferences for linear systems. The key idea is to add stochastic control inputs, named as unpredictable control, to make the outputs irregular. The future…
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…
We study the problem of determining how much finished goods inventory to source from different capacitated facilities in order to maximize profits resulting from sales of such inventory. We consider a problem wherein there is uncertainty in…
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or…
We consider the problem of incentivization and optimal control of autonomous vehicles for improving traffic congestion. In our scenario, autonomous vehicles must be incentivized in order to participate in traffic improvement. Using the…
Linearized models of power systems are often desirable to formulate tractable control and optimization problems that still reflect real-world physics adequately under various operating conditions. In this paper, we propose an approach that…
Higher shares of electricity generation from renewable energy sources and market liberalization is increasing uncertainty in power systems operation. At the same time, operation is becoming more flexible with improved control systems and…
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…
An innovative numerical technique is presented to adjust the inflow to a supply chain in order to achieve a desired outflow, reducing the costs of inventory, or the goods timing in warehouses. The supply chain is modelled by a conservation…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…