Related papers: Unwinding Stochastic Order Flow: When to Warehouse…
We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…
We study the cyclic inventory routing problem that involves joint decisions on vehicle routing and inventory replenishment on an infinite, cyclic horizon. It considers a single warehouse and a set of geographically dispersed retailers. We…
We study the problem of forecasting the number of units fulfilled (or ``drained'') from each inventory warehouse to meet customer demand, along with the associated outbound shipping costs. The actual drain and shipping costs are determined…
A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…
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…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
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…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
Rolling forecasts have been almost overlooked in the renewable energy storage literature. In this paper, we provide a new approach for handling uncertainty not just in the accuracy of a forecast, but in the evolution of forecasts over time.…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book depth and resilience are allowed to evolve randomly in time.…
We consider the Windows Scheduling problem. The problem is a restricted version of Unit-Fractions Bin Packing, and it is also called Inventory Replenishment in the context of Supply Chain. In brief, the problem is to schedule the use of…
We consider the coflow scheduling problem in the non-clairvoyant setting, assuming that flow sizes are realized on-line according to given probability distributions. The goal is to minimize the weighted average completion time of coflows in…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of…
We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orders are submitted at high frequency. We derive a functional central limit theorem for the joint dynamics of the bid and ask queues and show…
This paper presents a methodology for strategic day-ahead planning that uses a combination of deep learning and optimization. A noise-driven recurrent neural network structure is proposed for forecasting electricity prices and local inflow…
We study a simple rate control scheme for a multiclass queuing network for which customers are partitioned into distinct flows that are queued separately at each station. The control scheme discards customers that arrive to the network…