Related papers: Stochastic production planning with regime switchi…
The increasing amount of controllable generation and consumption in distribution grids poses a severe challenge in keeping voltage values within admissible ranges. Existing approaches have considered different optimal power flow…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
When optimizing problems with uncertain parameter values in a linear objective, decision-focused learning enables end-to-end learning of these values. We are interested in a stochastic scheduling problem, in which processing times are…
We address the issue of control of a stochastic two-component granulation process in pharmaceutical applications through using Stochastic Model Predictive Control (SMPC) and model reduction to obtain the desired particle distribution. We…
The paper provides a new approach to the determination of a single state value for stochastic output feedback problems using paradigms from Model Predictive Control, particularly the distinction between open-loop and closed-loop control and…
We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
Multistage stochastic programming is a powerful tool allowing decision-makers to revise their decisions at each stage based on the realized uncertainty. However, in practice, organizations are not able to be fully flexible, as decisions…
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…
Optimal scheduling of batteries has significant potential to reduce electricity costs and to enhance grid resilience. However, effective battery scheduling must account for both physical constraints as well as uncertainties in consumption…
Dynamic and evolving operational and economic environments present significant challenges for decision-making. We explore a simulation optimization problem characterized by non-stationary input distributions with regime-switching dynamics…
This paper introduces capital flow to the single item stochastic lot sizing problem. A retailer can leverage business overdraft to deal with unexpected capital shortage, but needs to pay interest if its available balance goes below zero. A…
In airport operations, optimally using dedicated personnel for baggage handling tasks plays a crucial role in the design of resource-efficient processes. Teams of workers with different qualifications must be formed, and loading or…
Stochastic matching is the stochastic version of the well-known matching problem, which consists in maximizing the rewards of a matching under a set of probability distributions associated with the nodes and edges. In most stochastic…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
We propose a stochastic dynamics to be associated to a deterministic motion defined by a set of first order differential equation. The transitions that defined the stochastic dynamics are unidirectional and the rates are equal to the…
In a facility with front room and back room operations, it is useful to switch workers between the rooms in order to cope with changing customer demand. Assuming stochastic customer arrival and service times, we seek a policy for switching…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…