Related papers: On the stochastic inventory problem under order ca…
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…
This paper examines the objective of optimally harvesting a single species in a stochastic environment. This problem has previously been analyzed in Alvarez (2000) using dynamic programming techniques and, due to the natural payoff…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
This paper considers optimal control problems defined by a monotone dynamical system, a monotone cost, and monotone constraints. We identify families of such problems for which the optimal solution is bang-ride, i.e., always operates on the…
Small-to-medium size enterprises (SMEs), including many startup firms, need to manage interrelated flows of cash and inventories of goods. In this paper, we model a firm that can finance its inventory (ordered or manufactured) with loans in…
We consider a stochastic lost-sales inventory control system with a lead time $L$ over a planning horizon $T$. Supply is uncertain, and is a function of the order quantity (due to random yield/capacity, etc). We aim to minimize the…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
When designing optimal controllers for any system, it is often the case that the true state of the system is unknown to the controller, for example due to noisy measurements or partially observable states. Incomplete state information must…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
Prior work on automatic control synthesis for cyber-physical systems under logical constraints has primarily focused on environmental disturbances or modeling uncertainties, however, the impact of deliberate and malicious attacks has been…
We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in…
This paper presents a general class of dynamic stochastic optimization problems we refer to as Stochastic Depletion Problems. A number of challenging dynamic optimization problems of practical interest are stochastic depletion problems.…
We consider the maximization problem of monotone submodular functions under an uncertain knapsack constraint. Specifically, the problem is discussed in the situation that the knapsack capacity is not given explicitly and can be accessed…
Industrial refrigeration systems have substantial energy needs, but optimizing their operation remains challenging due to the tension between minimizing energy costs and meeting strict cooling requirements. Load shifting--strategic…
Stochastic policies (also known as relaxed controls) are widely used in continuous-time reinforcement learning algorithms. However, executing a stochastic policy and evaluating its performance in a continuous-time environment remain open…