Related papers: Optimal control for production inventory system wi…

This note describes sufficient conditions under which total-cost and average-cost Markov decision processes (MDPs) with general state and action spaces, and with weakly continuous transition probabilities, can be reduced to discounted MDPs.…

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…

The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…

In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…

In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…

In this paper, we consider a Markov chain choice model with single transition. In this model, customers arrive at each product with a certain probability. If the arrived product is unavailable, then the seller can recommend a subset of…

We consider a periodic review inventory control problem having an underlying modulation process that affects demand and that is partially observed by the uncensored demand process and a novel additional observation data (AOD) process. We…

In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…

In this paper we present an information theoretic approach to stochastic optimal control problems for systems with compound Poisson noise. We generalize previous work on information theoretic path integral control to discontinuous dynamics…

A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…

Inventory management in warehouses directly affects profits made by manufacturers. Particularly, large manufacturers produce a very large variety of products that are handled by a significantly large number of retailers. In such a case, the…

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…

We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…

We consider a dynamical system with finitely many equilibria and perturbed by small noise, in addition to being controlled by an `expensive' control. The controlled process is optimal for an ergodic criterion with a running cost that…

We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…

We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…

We present a methodology for determining the relationship between the optimal control points of a power storage facility and a number of different factors including storage level and temperature. The interaction between different factors is…

Tandem queueing systems are widely-used stochastic models that arise from many real-life service operations systems. Motivated by the desire to understand the trade-off between the performance and complexity of policies for…

Coordination of distributed agents is required for problems arising in many areas, including multi-robot systems, networking and e-commerce. As a formal framework for such problems, we use the decentralized partially observable Markov…

The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…