Related papers: On the stochastic inventory problem under order ca…

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…

Ecological systems are dynamic and policies to manage them need to respond to that variation. However, policy adjustments will sometimes be costly, which means that fine-tuning a policy to track variability in the environment very tightly…

We consider the dynamic inventory problem with non-stationary demands. It has long been known that non-stationary (s, S) policies are optimal for this problem. However, finding optimal policy parameters remains a computational challenge as…

We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…

Stochastic production planning problems were studied in several works; the model with one production good was discussed in [3]. The extension to several economic goods is not a trivial issue as one can see from the recent works [4], [5] and…

This paper studies optimal switching on and o? of the entire service capacity of an M/M/Infinity queue with holding, running and switching costs where the running costs depend only on whether the system is running or not. The goal is to…

In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

Today's global supply chains face growing challenges due to rapidly changing market conditions, increased network complexity and inter-dependency, and dynamic uncertainties in supply, demand, and other factors. To combat these challenges,…

In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…

We study the optimal control of storage which is used for both arbitrage and buffering against unexpected events, with particular applications to the control of energy systems in a stochastic and typically time-heterogeneous environment.…

Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…

Flexible loads, i.e. the loads whose power trajectory is not bound to a specific one, constitute a sizable portion of current and future electric demand. This flexibility can be used to improve the performance of the grid, should the right…

In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…

The configuration balancing problem with stochastic requests generalizes many well-studied resource allocation problems such as load balancing and virtual circuit routing. In it, we have $m$ resources and $n$ requests. Each request has…

We consider both discrete and continuous control problems constrained by a fixed budget of some resource, which may be renewed upon entering a preferred subset of the state space. In the discrete case, we consider both deterministic and…

We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…

We consider a network inventory system motivated by one-way, on-demand vehicle sharing services. Under uncertain and correlated network demand, the service operator periodically repositions vehicles to match a fixed supply with spatial…

This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…

We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…