Related papers: Stochastic production planning with regime switchi…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
Manufacturing industries are among the highest energy-consuming sectors, facing increasing pressure to reduce energy costs. This paper presents an energy-aware Model Predictive Control (MPC) framework to dynamically schedule manufacturing…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…
Consider a regenerative storage process with a nondecreasing L\'evy input (subordinator) such that every cycle may be split into two periods. In the first (off) the output is shut off and the workload accumulates. This continues until some…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
Stochastic process models are now commonly used to analyse complex biological, ecological and industrial systems. Increasingly there is a need to deliver accurate estimates of model parameters and assess model fit by optimizing the timing…
The incorporation of stochastic loads and generation into the operation of power grids gives rise to an exposure to stochastic risk. This risk has been addressed in prior work through a variety of mechanisms, such as scenario generation or…
We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable. We assume that…
Due to the new carbon neutral policies, many district heating operators start operating their combined heat and power (CHP) plants using different types of biomass instead of fossil fuel. The contracts with the biomass suppliers are…
In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by switching between different states/investments. However, he is…
In this paper we consider some optimal control problems governed by elliptic partial differential equations. The solution is the state variable, while the control variable is, depending on the case, the coefficient of the PDE, the…
Today's global supply chains face growing challenges due to rapidly changing market conditions, increased network complexity and inter-dependency, and dynamic uncertainties in supply, demand, and other factors. To combat these challenges,…
In the classical stochastic resetting problem, a particle, moving according to some stochastic dynamics, undergoes random interruptions that bring it to a selected domain, and then, the process recommences. Hitherto, the resetting mechanism…
Preferences play a key role in determining what goals/constraints to satisfy when not all constraints can be satisfied simultaneously. In this work, we study preference-based planning in a stochastic system modeled as a Markov decision…
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption processes, without any a priori boundedness constraint. A…
In this paper, we study the problem of optimizing the size and mix of a mixed fleet of electric and conventional vehicles owned by firms providing urban freight logistics services. Uncertain customer requests are considered at the strategic…
In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…