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Optimal trade execution is an important problem faced by essentially all traders. Much research into optimal execution uses stringent model assumptions and applies continuous time stochastic control to solve them. Here, we instead take a…

A single queue incorporating a retransmission protocol is investigated, assuming that the sequence of per effort success probabilities in the Automatic Retransmission reQuest (ARQ) chain is a priori defined and no channel state information…

This paper considers trajectory planning for a mobile robot which persistently relays data between pairs of far-away communication nodes. Data accumulates stochastically at each source, and the robot must move to appropriate positions to…

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…

This paper introduces a novel contextual bandit algorithm for personalized pricing under utility fairness constraints in scenarios with uncertain demand, achieving an optimal regret upper bound. Our approach, which incorporates dynamic…

We consider the optimal duration allocation in a decision making queue. Decision making tasks arrive at a given rate to a human operator. The correctness of the decision made by human evolves as a sigmoidal function of the duration…

In this paper, we examine a modified version of de Finetti's optimal dividend problem, incorporating fixed transaction costs and altering the surplus process by introducing two-valued drift and two-valued volatility coefficients. This…

We study the infinite horizon optimal control problem for N-network queueing systems, which consist of two customer classes and two server pools, under average (ergodic) criteria in the Halfin-Whitt regime. We consider three control…

Wireless systems resource allocation refers to perpetual and challenging nonconvex constrained optimization tasks, which are especially timely in modern communications and networking setups involving multiple users with heterogeneous…

In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…

This paper studies optimal control under the average-reward/cost criterion for deterministic linear systems. We derive the value function and optimal policy, and propose an approximate solution using Model Predictive Control to enable…

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…

In this article, we discuss two algorithms tailored to discrete-time deterministic finite-horizon nonlinear optimal control problems or so-called deterministic trajectory optimization problems. Both algorithms can be derived from an…

This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…

In this paper, we present the periodic modifier-adaptation formulation of the dynamic real time optimization. The proposed formulation uses gradient information to update the problem with affine modifiers so that, upon convergence, its…

A two-sided matching system is considered, where servers are assumed to arrive at a fixed rate, while the arrival rate of customers is modulated via a price-control mechanism. We analyse a loss model, wherein customers who are not served…

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…

The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…

In this paper, we consider controlled linear dynamical systems in which the controller has only access to a compressed version of the system state. The technical problem we investigate is that of allocating compression resources over time…

Multi-stage stochastic programming is a well-established framework for sequential decision making under uncertainty by seeking policies that are fully adapted to the uncertainty. Often such flexible policies are not desirable, and the…