Related papers: Stochastic production planning with regime switchi…
We introduce the class of multistage stochastic optimization problems with a random number of stages. For such problems, we show how to write dynamic programming equations and detail the Stochastic Dual Dynamic Programming algorithm to…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
This paper explores stochastic control models in the context of decarbonization within the energy market. We study three progressively complex scenarios: (1) a single firm operating with two technologies-one polluting and one clean,(2)two…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
This paper addresses a production scheduling problem derived from an industrial use case, focusing on unrelated parallel machine scheduling with the personnel availability constraint. The proposed model optimizes the production plan over a…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
Renewable energy sources such as wind and solar have received much attention in recent years and large amount of renewable generation is being integrated to the electricity networks. A fundamental challenge in power system operation is to…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
Living systems often function with regulatory interactions, but the question of how activity, stochasticity and regulations work together for achieving different goals still remains puzzling. We propose a stochastic model of an active…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markov regime…
In this paper we introduce a continuous time multi stage stochastic optimization for scheduling generating units, their commitment, reserve capacities and their continuous time generation profiles in the day-ahead wholesale electricity…
Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…
In planning problems, it is often challenging to fully model the desired specifications. In particular, in human-robot interaction, such difficulty may arise due to human's preferences that are either private or complex to model.…