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We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…
We define a model of a system that deteriorate as a result of (i) shocks, modeled as a compound Poisson process and (ii) deterministic, state dependent progressive rate, with variable and fixed maintenance cost. We define maintenance…
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…
Sequential Bayesian experimental design typically assumes that the number of experiments is fixed before data collection begins. In practical campaigns, however, experimentation may need to terminate early because additional measurements…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
We consider the following two deterministic inventory optimization problems over a finite planning horizon $T$ with non-stationary demands. (a) Submodular Joint Replenishment Problem: This involves multiple item types and a single retailer…
The (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…
A well-know control policy in stochastic inventory control is the (R, s, S) policy, in which inventory is raised to an order-up-to-level S at a review instant R whenever it falls below reorder-level s. To date, little or no work has been…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…
We present a numerical method for generating the state-feedback control policy associated with general undiscounted, constant-setpoint, infinite-horizon, nonlinear optimal control problems with continuous state variables. The method is…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
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…
``When in a difficult situation, it is sometimes better to give up and start all over again''. While this empirical truth has been regularly observed in a wide range of circumstances, quantifying the effectiveness of such a heuristic…
What is the performance cost of using simple, decoupled control policies in inherently coupled systems? Motivated by industrial refrigeration systems, where centralized compressors exhibit economies of scale yet traditional control employs…
Stop-loss rules are often studied in the financial literature, but the stop-loss levels are seldom constructed systematically. In many papers, and indeed in practice as well, the level of the stops is too often set arbitrarily. Guided by…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…
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.…
A new model for controlled sensing for multihypothesis testing is proposed and studied in the sequential setting. This new model, termed {\em controlled Markovian observation} model, exhibits a more complicated memory structure in the…
We consider stochastic control models with Borel spaces and universally measurable policies. For such models the standard policy iteration is known to have difficult measurability issues and cannot be carried out in general. We present a…