Related papers: On the stochastic inventory problem under order ca…
We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
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…
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…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
In this paper we study a periodic-review single-commodity setup-cost inventory model with backorders and holding/backlog costs satisfying quasiconvexity assumptions. We show that the Markov decision process for this inventory model…
This paper studies convergence properties of optimal values and actions for discounted and average-cost Markov Decision Processes (MDPs) with weakly continuous transition probabilities and applies these properties to the stochastic…
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…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian motion with a positive drift. Assuming the holding and…
In this paper, we analyze the optimal management of local memory systems, using the tools of stationary point processes. We provide a rigorous setting of the problem, building upon recent work, and characterize the optimal causal policy…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…
We study the optimal execution of market and limit orders with permanent and temporary price impacts as well as uncertainty in the filling of limit orders. Our continuous-time model incorporates a trade speed limiter and a trader director…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
The (R, s, S) is a stochastic inventory control policy widely used by practitioners. In an inventory system managed according to this policy, the inventory is reviewed at instant R; if the observed inventory position is lower than the…