Related papers: Improved Approximation Guarantees for Joint Replen…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
Model checking of strategic abilities is a notoriously hard problem, even more so in the realistic case of agents with imperfect information, acting in a stochastic environment. Assume-guarantee reasoning can be of great help here,…
Consistent answers to a query from a possibly inconsistent database are answers that are simultaneously retrieved from every possible repair of the database. Repairs are consistent instances that minimally differ from the original…
In this study, we analyze and compare the performance of state-of-the-art deep reinforcement learning algorithms for solving the supply chain inventory management problem. This complex sequential decision-making problem consists of…
Uncertainties from deepening penetration of renewable energy resources have posed critical challenges to the secure and reliable operations of future electric grids. Among various approaches for decision making in uncertain environments,…
Robots have a finite supply of resources such as fuel, battery charge, and storage space. The aim of the Stochastic Collection and Replenishment (SCAR) scenario is to use dedicated agents to refuel, recharge, or otherwise replenish robots…
Data-driven control of discrete-time and continuous-time systems is of tremendous research interest. In this paper, we explore data-driven optimal control of continuous-time linear systems using input-output data. Based on a density result,…
Group-buying auction has become a popular marketing strategy in the last decade. In this paper, a stochastic model is developed for an inventory system subjects to demands from group-buying auctions. The model discussed here takes into the…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
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…
We investigate the recoverable robust single machine scheduling problem under interval uncertainty. In this setting, jobs have first-stage processing times p and second-stage processing times q and we aim to find a first-stage and…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
One of the most fundamental questions in quantitative finance is the existence of continuous-time diffusion models that fit market prices of a given set of options. Traditionally, one employs a mix of intuition, theoretical and empirical…
In this paper, we show a tight approximation guarantee for budget-feasible mechanisms with an additive buyer. We propose a new simple randomized mechanism with approximation ratio of $2$, improving the previous best known result of $3$. Our…
We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals. For paycheck optimization, a quantitative methodology is missing, due to a lack of a suitable problem formulation.…
In modern e-commerce and service operations, firms must jointly manage inventory replenishment and real-time order fulfillment to maximize profit under demand uncertainty. While each component has been studied extensively in isolation,…
We develop exact simulation (also known as perfect sampling) algorithms for a family of assemble-to-order systems. Due to the finite capacity, and coupling in demands and replenishments, known solving techniques are inefficient for larger…
This study considers a continuous-review inventory model for a single item with two replenishment modes. Replenishments may occur continuously at any time with a higher unit cost, or at discrete times governed by Poisson arrivals with a…
Price-based revenue management is an important problem in operations management with many practical applications. The problem considers a retailer who sells a product (or multiple products) over $T$ consecutive time periods and is subject…
In this paper, we present a probabilistic adaptation of an Assume/Guarantee contract formalism. For the sake of generality, we assume that the extended state machines used in the contracts and implementations define sets of runs on a given…