Related papers: A dynamic ordering policy for a stochastic invento…
Bin packing is an algorithmic problem that arises in diverse applications such as remnant inventory systems, shipping logistics, and appointment scheduling. In its simplest variant, a sequence of $T$ items (e.g., orders for raw material,…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
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…
In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must be nonnegative, we prove that a…
The considered problem is how to optimally allocate a set of jobs to technicians of different skills such that the number of technicians of each skill does not exceed the number of persons with that skill designation. The key motivation is…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
In this paper, we develop mixed integer linear programming models to compute near-optimal policy parameters for the non-stationary stochastic lot sizing problem under Bookbinder and Tan's static-dynamic uncertainty strategy. Our models…
We consider a class of production-inventory problems with box uncertainty sets from the seminal work of Ben-Tal et al. (2004) on linear decision rules in robust optimization. We prove that there always exists an optimal linear decision rule…
In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
We revisit the Stochastic Knapsack problem, where a policy-maker chooses an execution order for jobs with fixed values and stochastic running-times, aiming to maximize the value completed by a deadline. Dean et al. (FOCS'04) show that…
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…
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…
A key factor that can dramatically reduce the search space during constraint solving is the criterion under which the variable to be instantiated next is selected. For this purpose numerous heuristics have been proposed. Some of the best of…
We consider assortment and inventory planning problems with dynamic stockout-based substitution effects, and without replenishment, in two different settings: (1) Customers can see all available products when they arrive, a typical scenario…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
We consider a multi-retailer supply chain where each retailer can dynamically choose when to share information (e.g., local inventory levels or demand observations) with other retailers, incurring a communication cost for each sharing…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…