Related papers: Same-day or next-day? Transparent time-dependent s…

A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…

Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We analyze intraday transition dynamics of ask and bid orders across market capitalization tiers using high-frequency…

In the e-commerce space, accurate prediction of delivery dates plays a major role in customer experience as well as in optimizing the supply chain operations. Predicting a date later than the actual delivery date might sometimes result in…

We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

We introduce a strategic decision-making problem faced by logistics providers (LPs) seeking facility location decisions that lead to profitable operations. The profitability depends on the revenue generated through agreements with shippers,…

We study a discrete-time model where each packet has a cost of not being sent -- this cost might depend on the packet content. We study the tradeoff between the age and the cost where the sender is confined to packet-based strategies. The…

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…

Stochastic dynamic matching problems have recently gained attention in the stochastic-modeling community due to their diverse applications, such as supply-chain management and kidney exchange programs. In this paper, we study a matching…

With the rise in demand for local deliveries and e-commerce, robotic deliveries are being considered as efficient and sustainable solutions. However, the deployment of such systems can be highly complex due to numerous factors involving…

The right performance of a supply chain depends on the pattern of relationships among firms. Although there is not a general consensus among researchers yet, many studies point that scale-free topologies, where few highly related firms are…

The two somewhat conflicting requirements of efficiency and fairness make ATFM an unsatisfactorily solved problem, despite its overwhelming importance. In this paper, we present an economics motivated solution that is based on the notion of…

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…

This paper discusses the revenue management (RM) problem to maximize revenue by pricing items or services. One challenge in this problem is that the demand distribution is unknown and varies over time in real applications such as airline…

We study a make-to-order system with a finite set of customers. Production is stochastic with a nonlinear dependence between the ordered quantity and the production rate. Customers may have to queue until their turn arrives, and therefore…

A significant portion of a consumer's annual electrical costs can be made up of coincident peak charges: a transmission surcharge for power consumed when the entire system is at peak demand. This charge occurs only a few times annually, but…

We propose and analyze a modified damped Newton algorithm to solve the semi-discrete optimal transport with storage fees. We prove global linear convergence for a wide range of storage fee functions, the main assumption being that each…

A central challenge in using price signals to coordinate the electricity consumption of a group of users is the operator's lack of knowledge of the users due to privacy concerns. In this paper, we develop a two-time-scale incentive…

Studies looking at electricity market designs for very high shares of wind and solar often conclude that the energy-only market will break down. Without fuel costs, it is said that there is nothing to set prices. Symptoms of breakdown…

In this work, we study the guaranteed delivery model which is widely used in online display advertising. In the guaranteed delivery scenario, ad exposures (which are also called impressions in some works) to users are guaranteed by…