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We tackle online inventory problems where at each time period the manager makes a replenishment decision based on partial historical information in order to meet demands and minimize costs. To solve such problems, we build upon recent works…
This paper addresses a novel data science problem, prescriptive price optimization, which derives the optimal price strategy to maximize future profit/revenue on the basis of massive predictive formulas produced by machine learning. The…
Many combinatorial optimization problems can be formulated as the search for a subgraph that satisfies certain properties and minimizes the total weight. We assume here that the vertices correspond to points in a metric space and can take…
A well-studied nonlinear extension of the minimum-cost flow problem is to minimize the objective $\sum_{ij\in E} C_{ij}(f_{ij})$ over feasible flows $f$, where on every arc $ij$ of the network, $C_{ij}$ is a convex function. We give a…
The $\alpha$-fair resource allocation problem has received remarkable attention and has been studied in numerous application fields. Several algorithms have been proposed in the context of $\alpha$-fair resource sharing to distributively…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
Heuristic algorithms have shown a good ability to solve a variety of optimization problems. Stockpile blending problem as an important component of the mine scheduling problem is an optimization problem with continuous search space…
A central problem in business concerns the optimal allocation of limited resources to a set of available tasks, where the payoff of these tasks is inherently uncertain. In credit card fraud detection, for instance, a bank can only assign a…
The food production industry, especially the meat production sector, faces many challenges that have even escalated due to the recent outbreak of the energy crisis in the European Union. Therefore, efficient use of input materials is an…
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk…
We consider the problem of planning the aggregate energy consumption for a set of thermostatically controlled loads for demand response, accounting price forecast trajectory and thermal comfort constraints. We address this as a…
Booking control problems are sequential decision-making problems that occur in the domain of revenue management. More precisely, freight booking control focuses on the problem of deciding to accept or reject bookings: given a limited…
In order to ensure efficient flow of goods in an automated warehouse and to guarantee its continuous distribution to/from picking stations in an effective way, decisions about which goods will be delivered to which particular picking…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…
We revisit the deadline version of the discrete time-cost tradeoff problem for the special case of bounded depth. Such instances occur for example in VLSI design. The depth of an instance is the number of jobs in a longest chain and is…
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit…
We study the solution of a large-scale transportation problem with an additional constraint on the sparsity of inbound flows. Such problems arise in the management of inventory for online retailers that operate with many order fulfillment…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
We consider a monopolist seller with $n$ heterogeneous items, facing a single buyer. The buyer has a value for each item drawn independently according to (non-identical) distributions, and her value for a set of items is additive. The…