Related papers: Optimal control for production inventory system wi…
We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…
We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…
We study an optimal-control problem of polling systems with large switchover times, when a holding cost is incurred on the queues. In particular, we consider a stochastic network with a single server that switches between several buffers…
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…
We consider the constrained optimal control problem for the gradual-impulsive CTMDP model with the performance criteria being the expected total undiscounted costs (from the running cost and the cost from each time an impulse being…
In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…
We study an online dynamic pricing problem where the potential demand at each time period $t=1,2,\ldots, T$ is stochastic and dependent on the price. However, a perishable inventory is imposed at the beginning of each time $t$, censoring…
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…
Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…
We present a numerical method for generating the state-feedback control policy associated with general undiscounted, constant-setpoint, infinite-horizon, nonlinear optimal control problems with continuous state variables. The method is…
In this paper, we consider a modified version of the control problem in a model free Markov decision process (MDP) setting with large state and action spaces. The control problem most commonly addressed in the contemporary literature is to…
This paper investigates methods for estimating the optimal stochastic control policy for a Markov Decision Process with unknown transition dynamics and an unknown reward function. This form of model-free reinforcement learning comprises…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
We consider the canonical periodic review lost sales inventory system with positive lead-times and stochastic i.i.d. demand under the average cost criterion. We introduce a new policy that places orders such that the expected inventory…
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends…
This study presents a comprehensive approach to optimizing inventory management under stochastic demand by leveraging Monte Carlo Simulation (MCS) with grid search and Bayesian optimization. By using a business case of historical demand…
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…
This paper investigates a two-echelon inventory system with a central warehouse and N (N > 2) retailers managed by a centralized information-sharing mechanism. In particular, the paper mathematically models an easy-to-implement inventory…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
We study the classical single-item inventory system in which unsatisfied demands are backlogged. Replenishment lead times are random, independent identically distributed, causing orders to cross in time. We develop a new inventory policy to…