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The resource management of a phase array system capable of multiple target tracking and surveillance is critical for the realization of its full potential. Present work aims to improve the performance of an existing method, time-balance…
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…
We consider a stochastic, dynamic job scheduling problem, formulated as a queueing control problem, in which a single server processes jobs of different types that arrive according to independent Poisson processes. The problem is defined on…
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
We study the scheduling polices for asymptotically optimal delay in queueing systems with switching overhead. Such systems consist of a single server that serves multiple queues, and some capacity is lost whenever the server switches to…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
Stochastic averaging for a class of stochastic differential equations (SDEs) with fractional Brownian motion, of the Hurst parameter H in the interval (1/2, 1), is investigated. An averaged SDE for the original SDE is proposed, and their…
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…
We introduce a technique to merge two biased Brownian motions into a single regular process. The outcome follows a stochastic differential equation with a constant diffusion coefficient and a non-linear drift. The emerging stochastic…
In this work we provide a computationally tractable procedure for designing affine control policies, applied to constrained, discrete-time, partially observable, linear systems subject to set bounded disturbances, stochastic noise and…
This paper proposes a new class of online policies for scheduling in input-buffered crossbar switches. Our policies are throughput optimal for a large class of arrival processes which satisfy strong-law of large numbers. Given an initial…
We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…
In this paper we consider the problem of mixed-criticality (MC) scheduling of implicit-deadline sporadic task systems on a homogenous multiprocessor platform. Focusing on dual-criticality systems, algorithms based on the fluid scheduling…
In an earlier paper, a randomized load balancing model was studied in a heavy traffic asymptotic regime where the load balancing stream is thin compared to the total arrival stream. It was shown that the limit is given by a system of…
We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
Filter pruning has drawn more attention since resource constrained platform requires more compact model for deployment. However, current pruning methods suffer either from the inferior performance of one-shot methods, or the expensive time…
Stochastic resetting has emerged as a useful strategy to reduce the completion time for a broad class of first passage processes. In the canonical setup, one intermittently resets a given system to its initial configuration only to start…
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk…