Related papers: Approximate Dynamic Programming for Delivery Time …
Minimizing the peak power consumption and matching demand to supply, under fixed threshold polices, are two key requirements for the success of the future electricity market. In this work, we consider dynamic pricing methods to minimize the…
Same-day delivery for e-commerce has become a popular service. Companies usually offer several time delivery options with the earliest one being next hour delivery. Due to tight delivery deadlines and thin margins, companies often find it…
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…
The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
Within a decade, almost every major auto company, along with fleet operators such as Uber, have announced plans to put autonomous vehicles on the road. At the same time, electric vehicles are quickly emerging as a next-generation technology…
On-demand delivery has become increasingly popular around the world. Motivated by a large grocery chain store who offers fast on-demand delivery services, we model and solve a stochastic dynamic driver dispatching and routing problem for…
Predictive control is frequently used for control problems involving constraints. Being an optimization based technique utilizing a user specified so-called stage cost, performance properties, i.e., bounds on the infinite horizon…
We study the approximate dynamic programming approach to revenue management in the context of attended home delivery. We draw on results from dynamic programming theory for Markov decision problems, convex optimisation and discrete convex…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
The proliferation of ride sharing systems is a major drive in the advancement of autonomous and electric vehicle technologies. This paper considers the joint routing, battery charging, and pricing problem faced by a profit-maximizing…
In many service systems, especially those in healthcare, customer waiting times can result in increased service requirements. Such service slowdowns can significantly impact system performance. Therefore, it is important to properly account…
In this article, we address a class of non convex, integer, non linear mathematical programs using dynamic programming. The mathematical program considered, whose properties are studied in this article, may be used to model the optimal…
In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solving dynamic programs by providing lower-upper bounds on the…
In this paper, we study optimization problems where the cost function contains time-varying parameters that are unmeasurable and evolve according to linear, yet unknown, dynamics. We propose a solution that leverages control theoretic tools…
Motivated by applications in online marketplaces such as ride-hailing, we study how strategic servers impact the system performance. We consider a discrete-time process in which, heterogeneous types of customers and servers arrive. Each…
A company provides a service at different time slots, each slot being endowed with a capacity. A non-atomic population of users is willing to purchase this service. The population is modeled as a continuous measure over the preferred times.…
We consider a multi-stage stochastic optimization problem originally introduced by Cygan et al. (2013), studying how a single server should prioritize stochastically departing customers. In this setting, our objective is to determine an…
We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural `projection' of a…