Related papers: Stochastic production planning with regime switchi…
This work introduces the category of Power System Transition Planning optimization problem. It aims to shift power systems to emissions-free networks efficiently. Unlike comparable work, the framework presented here broadly applies to the…
We examine a standard factory scheduling problem with stochastic processing and setup times, minimizing the expectation of the weighted number of tardy jobs. Because the costs of operators in the schedule are stochastic and sequence…
In this work we provide explicit conditions on the existence of optimal feedback controls for stochastic processes with regime-switching. We use the compactification method which needs less regularity conditions on the coefficients of the…
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.…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
This paper studies the formation mission design problem for commercial aircraft in the presence of uncertainties. Specifically, it considers uncertainties in the departure times of the aircraft and in the fuel burn savings for the trailing…
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…
In this paper we analyze the effect of two modelling approaches for supply planning problems under uncertainty: two-stage stochastic programming (SP) and robust optimization (RO). The comparison between the two approaches is performed…
Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…
In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
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…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…