Related papers: A dynamic ordering policy for a stochastic invento…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
We introduce a novel strategy to address the issue of demand estimation in single-item single-period stochastic inventory optimisation problems. Our strategy analytically combines confidence interval analysis and inventory optimisation. We…
A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
Matching platforms, from ridesharing to food delivery to competitive gaming, face a fundamental operational dilemma: match agents immediately to minimize waiting costs, or delay to exploit the efficiency gains of thicker markets. Yet…
We consider a feature-based personalized pricing problem in which the buyer is strategic: given the seller's pricing policy, the buyer can augment the features that they reveal to the seller to obtain a low price for the product. We model…
This paper presents a general class of dynamic stochastic optimization problems we refer to as Stochastic Depletion Problems. A number of challenging dynamic optimization problems of practical interest are stochastic depletion problems.…
Industrial refrigeration systems have substantial energy needs, but optimizing their operation remains challenging due to the tension between minimizing energy costs and meeting strict cooling requirements. Load shifting--strategic…
We study the design of optimal allocation mechanisms in an environment where agents and goods arrive stochastically. Agents have private types that determine the principal payoff. Either agents or goods can be held in a queue at a flow cost…
Heuristic algorithms have shown a good ability to solve a variety of optimization problems. Stockpile blending problem as an important component of the mine scheduling problem is an optimization problem with continuous search space…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
On-demand delivery has become increasingly popular around the world. Motivated by a large grocery chain store who offers fast on-demand delivery services, we model and solve a stochastic dynamic driver dispatching and routing problem for…
Backtracking search algorithms are often used to solve the Constraint Satisfaction Problem (CSP). The efficiency of backtracking search depends greatly on the variable ordering heuristics. Currently, the most commonly used heuristics are…
In this paper, we consider a multi-stage dynamic assortment optimization problem with multi-nomial choice modeling (MNL) under resource knapsack constraints. Given the current resource inventory levels, the retailer makes an assortment…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
We consider a single-echelon inventory system under periodic review with two suppliers facing stochastic demand, where excess demand is backlogged. The expedited supplier has a shorter lead time than the regular supplier but charges a…
We study problems with stochastic uncertainty information on intervals for which the precise value can be queried by paying a cost. The goal is to devise an adaptive decision tree to find a correct solution to the problem in consideration…
Product ranking is the core problem for revenue-maximizing online retailers. To design proper product ranking algorithms, various consumer choice models are proposed to characterize the consumers' behaviors when they are provided with a…
When allocating indivisible items to agents, it is known that the only strategyproof mechanisms that satisfy a set of rather mild conditions are constrained serial dictatorships: given a fixed order over agents, at each step the designated…