Related papers: A System-Dynamic Based Simulation and Bayesian Opt…
Metropolis Monte Carlo simulation is a powerful tool for studying the equilibrium properties of matter. In complex condensed-phase systems, however, it is difficult to design Monte Carlo moves with high acceptance probabilities that also…
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time horizon stochastic control problems. The new…
The process of calibrating computer models of natural phenomena is essential for applications in the physical sciences, where plenty of domain knowledge can be embedded into simulations and then calibrated against real observations. Current…
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…
A goal of systems biology is to understand the dynamics of intracellular systems. Stochastic chemical kinetic models are often utilized to accurately capture the stochastic nature of these systems due to low numbers of molecules. Collecting…
Finite element model updating is challenging because 1) the problem is oftentimes underdetermined while the measurements are limited and/or incomplete; 2) many combinations of parameters may yield responses that are similar with respect to…
Many real-world functions are defined over both categorical and category-specific continuous variables and thus cannot be optimized by traditional Bayesian optimization (BO) methods. To optimize such functions, we propose a new method that…
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…
Bayesian optimization is a sample-efficient approach to global optimization that relies on theoretically motivated value heuristics (acquisition functions) to guide its search process. Fully maximizing acquisition functions produces the…
This paper addresses the problem of managing perishable inventory under multiple sources of uncertainty, including stochastic demand, unreliable supplier fulfillment, and probabilistic product shelf life. We develop a discrete-event…
Controller tuning and parameter optimization are crucial in system design to improve closed-loop system performance. Bayesian optimization has been established as an efficient model-free controller tuning and adaptation method. However,…
We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to…
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…
In this paper, we present the Monte-Carlo Compressive Optimization algorithm, a new method to solve a combinatorial optimization problem that is assumed compressible. The method relies on random queries to the objective function in order to…
The aim of this paper is to describe a new an integrated methodology for project control under uncertainty. This proposal is based on Earned Value Methodology and risk analysis and presents several refinements to previous methodologies.…
In this paper, we propose an approach for an application of Bayesian optimization using Sequential Monte Carlo (SMC) and concepts from the statistical physics of classical systems. Our method leverages the power of modern machine learning…
This study proposes a simulation framework of procurement operations in the container logistics industry that can support the development of dynamic procurement strategies. The idea is inspired by the success of Passenger Origin-Destination…
This paper presents an iterative data-driven algorithm for solving dynamic multi-objective (MO) optimal control problems arising in control of nonlinear continuous-time systems. It is first shown that the Hamiltonian functional…
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…
Bayesian analysis is widely used in science and engineering for real-time forecasting, decision making, and to help unravel the processes that explain the observed data. These data are some deterministic and/or stochastic transformations of…