Related papers: SOLO FTRL algorithm for production management with…
A seminal result of [Fleischer et al. and Karakostas and Kolliopulos, both FOCS 2004] states that system optimal multi-commodity static network flows are always implementable as tolled Wardrop equilibrium flows even if users have…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
Managing stock efficiently remains a core issue in modern logistics, where companies must reconcile cost efficiency with dependable service despite unpredictable market conditions. Conventional models often overlook the direct connection…
We consider the problem of partial order production: arrange the elements of an unknown totally ordered set T into a target partially ordered set S, by comparing a minimum number of pairs in T. Special cases include sorting by comparisons,…
Offline reinforcement learning (RL) aims to learn a policy that maximizes the expected return using a given static dataset of transitions. However, offline RL faces the distribution shift problem. The policy constraint offline RL method is…
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…
In this paper, the inverse reinforcement learning (IRL) problem is addressed to reconstruct the unknown cost function underlying an observed optimal policy in a model-free manner, whose online adaptation with completely off-policy system…
In this paper, we design fixed-parameter tractable (FPT) algorithms for (non-monotone) submodular maximization subject to a matroid constraint, where the matroid rank $r$ is treated as a fixed parameter that is independent of the total…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
As rapidly growing AI computational demands accelerate the need for new hardware installation and maintenance, this work explores optimal data center resource management by balancing operational efficiency with fault tolerance through…
Breakability rate of fragile item depends on the accumulated stress of heaped stock level. So breakablility rate can be considered as dependent parameter of stock variable. The unit production cost is a function of production rate and also…
In order to reduce the negative impact of the uncertainty of load and renewable energies outputs on microgrid operation, an optimal scheduling model is proposed for isolated microgrids by using automated reinforcement learning-based…
Identifying optimal thermodynamical processes has been the essence of thermodynamics since its inception. Here, we show that differentiable programming (DP), a machine learning (ML) tool, can be employed to optimize finite-time…
This research gauges the ability of deep reinforcement learning (DRL) techniques to assist the control of conjugate heat transfer systems governed by the coupled Navier--Stokes and heat equations. It uses a novel, "degenerate" version of…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), and present applications to option pricing and portfolio…
We consider the problem of finding a feasible single-commodity flow in a strongly connected network with fixed supplies and demands, provided that the sum of supplies equals the sum of demands and the minimum arc capacity is at least this…
A fundamental problem in distributed computing is the distribution of requests to a set of uniform servers without a centralized controller. Classically, such problems are modeled as static balls into bins processes, where $m$ balls (tasks)…
We address a sequential decision problem that arises in the computation of symmetric Boolean functions of distributed data. We consider a collocated network, where each node's transmissions can be heard by every other node. Each node has a…
Online Reinforcement learning (RL) typically requires high-stakes online interaction data to learn a policy for a target task. This prompts interest in leveraging historical data to improve sample efficiency. The historical data may come…