Related papers: Stochastic Dynamic Programming Heuristic for the (…
A well-know control policy in stochastic inventory control is the (R, s, S) policy, in which inventory is raised to an order-up-to-level S at a review instant R whenever it falls below reorder-level s. To date, little or no work has been…
We consider the dynamic inventory problem with non-stationary demands. It has long been known that non-stationary (s, S) policies are optimal for this problem. However, finding optimal policy parameters remains a computational challenge as…
This paper addresses the single-item single-stocking location non-stationary stochastic lot-sizing problem under a reorder point -- order quantity control strategy. The reorder points and order quantities are chosen at the beginning of the…
This paper investigates a stochastic inventory management problem in which a cash-constrained small retailer periodically purchases a product from suppliers and sells it to a market while facing non-stationary demands. In each period, the…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
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…
The problem of synthesizing stochastic explicit model predictive control policies is known to be quickly intractable even for systems of modest complexity when using classical control-theoretic methods. To address this challenge, we present…
This work presents a stochastic dynamic programming (SDP) algorithm that aims at minimizing an economic criteria based on the total energy consumption of a range extender electric vehicle (REEV). This algorithm integrates information from…
This paper addresses the single-item single-stocking location stochastic lot sizing problem under the $(s, S) $ policy. We first present a mixed integer non-linear programming (MINLP) formulation for determining near-optimal $(s, S)$ policy…
Multistage stochastic programming deals with operational and planning problems that involve a sequence of decisions over time while responding to realizations that are uncertain. Algorithms designed to address multistage stochastic linear…
Stochastic dual dynamic programming (SDDP) is a state-of-the-art method for solving multi-stage stochastic optimization, widely used for modeling real-world process optimization tasks. Unfortunately, SDDP has a worst-case complexity that…
This paper considers the periodic-review stochastic joint replenishment problem (JRP) under Bookbinder and Tan's static-dynamic uncertainty control policy. According to a static-dynamic uncertainty control rule, the decision maker fixes…
Multi stage stochastic programs arise in many applications from engineering whenever a set of inventories or stocks has to be valued. Such is the case in seasonal storage valuation of a set of cascaded reservoir chains in hydro management.…
The Double Linear Policy (DLP) framework guarantees a Robust Positive Expectation (RPE) under optimized constant-weight designs or admissible prespecified time-varying policies. However, the sequential optimization of these time-varying…
We study periodic review stochastic inventory control in the data-driven setting where the retailer makes ordering decisions based only on historical demand observations without any knowledge of the probability distribution of the demand.…
The rapid proliferation of omnichannel retail strategies has fundamentally transformed store replenishment operations in uncertain supply chain environments. With retail stores increasingly acting as hybrid fulfillment centers, pooled…
The paper investigates stochastic resource allocation problems with scarce, reusable resources and non-preemtive, time-dependent, interconnected tasks. This approach is a natural generalization of several standard resource management…
We propose a formulation of the stochastic cutting stock problem as a discounted infinite-horizon Markov decision process. At each decision epoch, given current inventory of items, an agent chooses in which patterns to cut objects in stock…
Policy optimization is among the most popular and successful reinforcement learning algorithms, and there is increasing interest in understanding its theoretical guarantees. In this work, we initiate the study of policy optimization for the…
We introduce an algorithm called SQDP (Stochastic Quadratic Dynamic Programming) to solve some multistage stochastic optimization problems having strongly convex recourse functions. The algorithm extends the classical Stochastic Dual…