Related papers: Optimal Ordering Policies for Multi-Echelon Supply…
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…
Production systems deteriorate stochastically due to usage and may eventually break down, resulting in high maintenance costs at scheduled maintenance moments. This deterioration behavior is affected by the system's production rate. While…
We consider discrete-time dynamics, for cascading failure in DC networks, whose map is composition of failure rule with control actions. Supply-demand at the nodes is monotonically non-increasing under admissible control. Under the failure…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
The traditional multi-commodity flow problem assumes a given flow network in which multiple commodities are to be maximally routed in response to given demands. This paper considers the multi-commodity flow network-design problem: given a…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
Tanker water systems play critical role in providing adequate service to meet potable water demands in the face of acute water crisis in many cities globally. Managing tanker movements among the supply and demand sides requires an efficient…
This paper studies optimal switching on and o? of the entire service capacity of an M/M/Infinity queue with holding, running and switching costs where the running costs depend only on whether the system is running or not. The goal is to…
The smart power grid aims at harnessing information and communication technologies to enhance reliability and enforce sensible use of energy. Its realization is geared by the fundamental goal of effective management of demand load. In this…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
Assortment optimization is a critical tool for online retailers aiming to maximize revenue. However, optimizing purely for revenue can lead to unbalanced sales across products, potentially causing a long tail of low-selling products and…
We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…
In this article, we consider transport networks with uncertain demands. Network dynamics are given by linear hyperbolic partial differential equations and suitable coupling conditions, while demands are incorporated as solutions to…
A key challenge in inventory management is to identify policies that optimally replenish inventory from multiple suppliers. To solve such optimization problems, inventory managers need to decide what quantities to order from each supplier,…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
We consider an e-commerce retailer operating a supply chain that consists of middle- and last-mile transportation, and study its ability to deliver products stored in warehouses within a day from customer's order time. Successful next-day…
Due to numerous applications in retail and (online) advertising the problem of assortment selection has been widely studied under many combinations of discrete choice models and feasibility constraints. In many situations, however, an…
Strategic product placement can have a strong influence on customer purchase behavior in physical stores as well as online platforms. Motivated by this, we consider the problem of optimizing the placement of substitutable products in…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the…