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We consider a periodic-review, fixed-lifetime perishable inventory control problem where demand is a general stochastic process. The optimal solution for this problem is intractable due to "curse of dimensionality". In this paper, we first…
In the design of closed-loop networked control systems (NCSs), induced transmission delay between sensors and the control station is an often-present issue which compromises control performance and may even cause instability. A very…
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…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
We introduce discontinuous solutions to nonlinear impulsive control systems with state time delays in the dynamics and derive necessary optimality conditions in the form of a Maximum Principle for associated optimal control problems. In the…
This work presents a suboptimality study of a particular model predictive control with a stage cost shaping based on the ideas of reinforcement learning. The focus of the suboptimality study is to derive quantities relating the…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
This paper extends the existing drawdown modulation control policy to include a novel restart mechanism for trading. It is known that the drawdown modulation policy guarantees the maximum percentage drawdown no larger than a prespecified…
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…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
For a general optimal control problem for dynamical systems with hybrid dynamics, we study the dependency of the optimal cost and of the value function on the initial conditions, parameters, and perturbations. We show that upper and lower…
We study the inbound supply mode and inventory management decision making for a company that sells an assortment of products. Stochastic demand for each product arrives periodically and unmet demand is backlogged. Each product has two…
This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…
This paper addresses the single-item single-stocking location non-stationary stochastic lot-sizing problem under a reorder point -- order quantity control strategy. The reorder points and order quantities are chosen at the beginning of the…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function…
Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…
In this paper, we show the optimality of a certain class of disturbance-affine control policies in the context of one-dimensional, constrained, multi-stage robust optimization. Our results cover the finite horizon case, with minimax…
Clinical decision-making often involves selecting tests that are costly, invasive, or time-consuming, motivating individualized, sequential strategies for what to measure and when to stop ascertaining. We study the problem of learning…
We consider a controlled double-ended queue consisting of two classes of customers, labeled sellers and buyers. The sellers and buyers arrive in a trading market according to two independent renewal processes. Whenever there is a seller and…