Related papers: Improved Approximation Guarantees for Joint Replen…
Using cumulative residual processes, we propose joint goodness-of-fit tests for conditional means and variances functions in the context of nonlinear time series with martingale difference innovations. The main challenge comes from the fact…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…
In neuroscience, the time elapsed since the last discharge has been used to predict the probability of the next discharge. Such predictions can be improved taking into account the last two discharge times, and possibly more. Such multi-time…
We revisit the linear programming approach to deterministic, continuous time, infinite horizon discounted optimal control problems. In the first part, we relax the original problem to an infinite-dimensional linear program over a measure…
Variational inequality problems allow for capturing an expansive class of problems, including convex optimization problems, convex Nash games and economic equilibrium problems, amongst others. Yet in most practical settings, such problems…
When facing time-variant problems in analog computing, the desirable RNN design requires finite-time convergence and robustness with respect to various types of uncertainties, due to the time-variant nature and difficulties in…
Building on insights of Jovanovic (1982) and subsequent authors, we develop a comprehensive theory of optimal timing of decisions based around continuation value functions and operators that act on them. Optimality results are provided…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
In real-world decision making tasks, it is critical for data-driven reinforcement learning methods to be both stable and sample efficient. On-policy methods typically generate reliable policy improvement throughout training, while…
We study an online generalization of the classic Joint Replenishment Problem (JRP) that models the trade-off between ordering costs, holding costs, and backlog costs in supply chain planning systems. A retailer places orders to a supplier…
Considering the close interaction between spare parts logistics and maintenance planning, this paper presents a model for joint optimization of multi-location spare parts supply chain and condition-based maintenance under predictive and…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
In this paper, we study the Maximum Profit Pick-up Problem with Time Windows and Capacity Constraint (MP-PPTWC). Our main results are 3 polynomial time algorithms, all having constant approximation factors. The first algorithm has an…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
We propose a new abstract formalism for probabilistic timed systems, Parametric Interval Probabilistic Timed Automata, based on an extension of Parametric Timed Automata and Interval Markov Chains. In this context, we consider the…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
Computable estimates for the error of finite element discretisations of parabolic problems in the $L^\infty(0,T; L^2)$ norm are developed, which exhibit constant effectivities (the ratio of the estimated error to the true error) with…
We study the warehouse problem, arising in the area of inventory management and production planning. Here, a merchant wants to decide an optimal trading policy that computes quantities of a single commodity to purchase, store and sell…
We study the exponential time complexity of approximate counting satisfying assignments of CNFs. We reduce the problem to deciding satisfiability of a CNF. Our reduction preserves the number of variables of the input formula and thus also…
In this paper we consider the coupled task scheduling problem with exact delay times on a single machine with the objective of minimizing the total completion time of the jobs. We provide constant-factor approximation algorithms for several…