Related papers: Warehouse Problem with Bounds, Fixed Costs and Com…

We study a class of Bayesian online selection problems with matroid constraints. Consider a vendor who has several items to sell, with the set of sold items being subject to some structural constraints, e.g., the set of sold items should be…

We study a general online combinatorial auction problem in algorithmic mechanism design. A provider allocates multiple types of capacity-limited resources to customers that arrive in a sequential and arbitrary manner. Each customer has a…

Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…

In this focused technical paper, we present long-awaited algorithmic advances toward the efficient construction of near-optimal replenishment policies for a true inventory management classic, the economic warehouse lot scheduling problem.…

In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…

Ensuring fairness while limiting costs, such as transportation or storage, is an important challenge in resource allocation, yet most work has focused on cost minimization without fairness or fairness without explicit cost considerations.…

We study an online learning problem on dynamic pricing and resource allocation, where we make joint pricing and inventory decisions to maximize the overall net profit. We consider the stochastic dependence of demands on the price, which…

We consider a robust version of the revenue maximization problem, where a single seller wishes to sell $n$ items to a single unit-demand buyer. In this robust version, the seller knows the buyer's marginal value distribution for each item…

A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…

Optimal allocation of agricultural water in the event of droughts is an important global problem. In addressing this problem, many aspects, including the welfare of farmers, the economy, and the environment, must be considered. Under this…

We consider an assortment optimization problem under the multinomial logit choice model with general covering constraints. In this problem, the seller offers an assortment that should contain a minimum number of products from multiple…

We introduce capital flow constraints, loss of good will and loan to the lot sizing problem. Capital flow constraint is different from traditional capacity constraints: when a manufacturer launches production, its present capital should not…

This paper introduces a novel theoretical framework and a suite of highly efficient, parallelizable algorithms for solving the large-scale multicommodity flow (MCF) feasibility problem. We reframe the classical constraint-satisfaction…

We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…

Order picking is the problem of collecting a set of products in a warehouse in a minimum amount of time. It is currently a major bottleneck in supply-chain because of its cost in time and labor force. This article presents two exact and…

This paper is about minimum cost constrained selection of inputs and outputs for generic arbitrary pole placement. The input-output set is constrained in the sense that the set of states that each input can influence and the set of states…

We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…

When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…

The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…