Related papers: Dynamic programming for the stochastic matching mo…
A dynamic bipartite matching model is given by a bipartite matching graph which determines the possible matchings between the various types of supply and demand items. Both supply and demand items arrive to the system according to a…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
In this paper we study the problem of fully dynamic maximal matching with lookahead. In a fully dynamic $n$-vertex graph setting, we have to handle updates (insertions and removals of edges), and answer queries regarding the current graph,…
In this paper we present an algorithmic framework for solving a class of combinatorial optimization problems on graphs with bounded pathwidth. The problems are NP-hard in general, but solvable in linear time on this type of graphs. The…
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal…
This paper studies the maximum cardinality matching problem in stochastically evolving graphs. We formally define the arrival-departure model with stochastic departures. There, a graph is sampled from a specific probability distribution and…
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…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…
A widely used heuristic for solving stochastic optimization problems is to use a deterministic rolling horizon procedure, which has been modified to handle uncertainty (e.g. buffer stocks, schedule slack). This approach has been criticized…
Many optimization problems can be naturally represented as (hyper) graphs, where vertices correspond to variables and edges to tasks, whose cost depends on the values of the adjacent variables. Capitalizing on the structure of the graph,…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
The most common approaches for solving multistage stochastic programming problems in the research literature have been to either use value functions ("dynamic programming") or scenario trees ("stochastic programming") to approximate the…
For optimal control problems on finite graphs in continuous time, the dynamic programming principle leads to value functions characterized by systems of nonlinear ordinary differential equations. In this paper, we consider the case of…
Bipartite matching systems arise in many settings where agents or tasks from two distinct sets must be paired dynamically under compatibility constraints. We consider a high-dimensional bipartite matching system under uncertainty and seek…
We study dynamic graph algorithms in the Massively Parallel Computation model, which was inspired by practical data processing systems. Our goal is to provide algorithms that can efficiently handle large batches of edge insertions and…
Motivated by applications to a wide range of assemble-to-order systems, operations scheduling, healthcare systems and collaborative economy applications, we introduce a stochastic matching model on hypergraphs, extending the model in [15]…
This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming approaches, we first approximate the optimal policy by means of…