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The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
We study computer systems with transactions executed on a set of shared objects. Transactions arrive continually subjects to constrains that are framed as an adversarial model and impose limits on the average rate of transaction generation…
In the Constrained Fault-Tolerant Resource Allocation (FTRA) problem, we are given a set of sites containing facilities as resources, and a set of clients accessing these resources. Specifically, each site i is allowed to open at most R_i…
We consider the problem of assigning or allocating resources to a set of jobs. We consider the case when the resources are fungible, that is, the job can be done with any mix of the resources, but with different efficiencies. In our…
The growing adoption of electric vehicles (EVs) is increasing peak demand in distribution systems, which can threaten grid stability and reduce operational efficiency. Dynamic electricity pricing is a promising means of mitigating these…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
In many reinforcement learning applications, the underlying environment reward and transition functions are explicitly known differentiable functions. This enables us to use recent research which applies machine learning tools to stochastic…
We present a method to solve fractional optimal control problems, where the dynamic depends on integer and Caputo fractional derivatives. Our approach consists to approximate the initial fractional order problem with a new one that involves…
Algorithmic trading has gained attention due to its potential for generating superior returns. This paper investigates the effectiveness of deep reinforcement learning (DRL) methods in algorithmic commodities trading. It formulates the…
In the problem of online load balancing on uniformly related machines with bounded migration, jobs arrive online one after another and have to be immediately placed on one of a given set of machines without knowledge about jobs that may…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
This paper studies how to maximize a spectrum database operator's expected revenue in sharing spectrum to secondary users, through joint pricing and admission control of spectrum resources. A unique feature of our model is the consideration…
Model Predictive Control (MPC) is widely recognized for its ability to explicitly handle system constraints. In practice, system states are often affected by disturbances with unknown distributions. While robust MPC guarantees constraint…
Distributed optimization is fundamental to modern machine learning applications like federated learning, but existing methods often struggle with ill-conditioned problems and face stability-versus-speed tradeoffs. We introduce fractional…
We address the challenging problem of dynamically pricing complementary items that are sequentially displayed to customers. An illustrative example is the online sale of flight tickets, where customers navigate through multiple web pages.…
Computing optimal transport (OT) for general high-dimensional data has been a long-standing challenge. Despite much progress, most of the efforts including neural network methods have been focused on the static formulation of the OT…
Off-policy evaluation and learning (OPE/L) use offline observational data to make better decisions, which is crucial in applications where online experimentation is limited. However, depending entirely on logged data, OPE/L is sensitive to…
We consider distributionally robust optimization (DRO) problems, reformulated as distributionally robust feasibility (DRF) problems, with multiple expectation constraints. We propose a generic stochastic first-order meta-algorithm, where…
A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…