Related papers: A Complete Algebraic Solution to the Optimal Dynam…

We propose a dynamic spectrum access scheme where secondary users recommend "good" channels to each other and access accordingly. We formulate the problem as an average reward based Markov decision process. We show the existence of the…

We introduce distributional dynamic programming (DP) methods for optimizing statistical functionals of the return distribution, with standard reinforcement learning as a special case. Previous distributional DP methods could optimize the…

In this paper we study a dynamic vehicle routing problem in which there are multiple vehicles and multiple classes of demands. Demands of each class arrive in the environment randomly over time and require a random amount of on-site service…

We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…

Motivated by modern-day applications such as Attended Home Delivery and Preference-based Group Scheduling, where decision makers wish to steer a large number of customers toward choosing the exact same alternative, we introduce a novel…

We propose an approach based on machine learning to solve two-stage linear adaptive robust optimization (ARO) problems with binary here-and-now variables and polyhedral uncertainty sets. We encode the optimal here-and-now decisions, the…

We consider the problem of designing risk-sensitive optimal control policies for scheduling packet transmissions in a stochastic wireless network. A single client is connected to an access point (AP) through a wireless channel. Packet…

We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…

We consider the problem of controlling a Markov decision process (MDP) with a large state space, so as to minimize average cost. Since it is intractable to compete with the optimal policy for large scale problems, we pursue the more modest…

In this paper, we investigate a general delay-aware channel allocation problem where the number of channels is less than that of users. Due to the proliferation of delay sensitive applications, the objective of our problem is chosen to be…

We consider an energy harvesting sensor transmitting latency-sensitive data over a fading channel. We aim to find the optimal transmission scheduling policy that minimizes the packet queuing delay given the available harvested energy. We…

We consider the optimal allocation of generic resources among multiple generic entities of interest over a finite planning horizon, where each entity generates stochastic returns as a function of its resource allocation during each period.…

We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…

Performance analysis of queueing networks is one of the most challenging areas of queueing theory. Barring very specialized models such as product-form type queueing networks, there exist very few results which provide provable…

We consider a multi-class queueing model of a telephone call center, in which a system manager dynamically allocates available servers to customer calls. Calls can terminate through either service completion or customer abandonment, and the…

Affine policies (or control) are widely used as a solution approach in dynamic optimization where computing an optimal adjustable solution is usually intractable. While the worst case performance of affine policies can be significantly bad,…

Queueing systems appear in many important real-life applications including communication networks, transportation and manufacturing systems. Reinforcement learning (RL) framework is a suitable model for the queueing control problem where…

This paper considers a stochastic production planning problem with regime switching. There are two regimes corresponding to different economic cycles. A factory is planning its production so as to minimize production costs. We analyze this…

This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…

Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a…