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

In this study, we adopt age of information as a measure of the staleness of information, and take initial steps towards analyzing the control performance of stochastic systems with stale information. Our goals are to cast light on a…

In reinforcement learning, an agent attempts to learn high-performing behaviors through interacting with the environment, such behaviors are often quantified in the form of a reward function. However some aspects of behavior-such as ones…

In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…

This paper investigates a multi-product stochastic inventory problem in which a cash-constrained online retailer can adopt order-based loan provided by some Chinese e-commerce platforms to speed up its cash recovery for deferred revenue. We…

Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear programs over a space of measures on the state and control…

The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…

The many-to-one stable matching problem provides the fundamental abstraction of several real-world matching markets such as school choice and hospital-resident allocation. The agents on both sides are often referred to as residents and…

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

Inventory models with lost sales and large lead times have traditionally been considered intractable due to the curse of dimensionality. Recently, Goldberg and co-authors laid the foundations for a new approach to solving these models, by…

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…

In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their…

In this paper, we study the constrained stochastic submodular maximization problem with state-dependent costs. The input of our problem is a set of items whose states (i.e., the marginal contribution and the cost of an item) are drawn from…

The mathematical problem concerning intrinsic storage optimisation is formulated and solved by means of variational analysis. The solution, though obtained in implicit form, still sheds light on many important features of the optimal…

This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…

We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…

The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…

We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…

We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…

We present a methodology for determining the relationship between the optimal control points of a power storage facility and a number of different factors including storage level and temperature. The interaction between different factors is…