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We propose a variational method to solve all three estimation problems for nonlinear stochastic dynamical systems: prediction, filtering, and smoothing. Our new approach is based upon a proper choice of cost function, termed the {\it…
The billboard advertisement has emerged as an effective out-of-home advertisement technique where the objective is to choose a limited number of slots to play some advertisement content (e.g., animation, video, etc.) with the hope that the…
The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing…
Lost sales inventory models with large lead times, which arise in many practical settings, are notoriously difficult to optimize due to the curse of dimensionality. In this paper we show that when lead times are large, a very simple…
This study presents a comprehensive approach to optimizing inventory management under stochastic demand by leveraging Monte Carlo Simulation (MCS) with grid search and Bayesian optimization. By using a business case of historical demand…
We consider the offline sorting buffer problem. The input is a sequence of items of different types. All items must be processed one by one by a server. The server is equipped with a random-access buffer of limited capacity which can be…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multivariate time series. Overcoming challenges unique to time-series setting such as time-varying environments, history-dependent…
The well-known influence maximization problem aims at maximizing the influence of one information cascade in a social network by selecting appropriate seed users prior to the diffusion process. In its adaptive version, additional seed users…
We consider the multi-item inventory lot-sizing problem with supplier selection. The problem consists of determining an optimal purchasing plan in order to satisfy dynamic deterministic demands for multiple items over a finite planning…
We tackle the problem of non-preemptive periodic scheduling with a harmonic set of periods. Problems of this kind arise within domains of periodic manufacturing and maintenance, and also during the design of industrial, automotive, and…
Facility location decisions significantly impact customer behavior and consequently the resulting demand in a wide range of businesses. Furthermore, sequentially realized uncertain demand enforces strategically determining locations under…
The bin packing problem exists widely in real logistic scenarios (e.g., packing pipeline, express delivery), with its goal to improve the packing efficiency and reduce the transportation cost. In this NP-hard combinatorial optimization…
In this paper we consider two problems regarding the scheduling of available personnel in order to perform a given quantity of work, which can be arbitrarily decomposed into a sequence of activities. We are interested in schedules which…
We study a general problem of allocating limited resources to heterogeneous customers over time under model uncertainty. Each type of customer can be serviced using different actions, each of which stochastically consumes some combination…
We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…
We consider the problem of learning the preferences of a heterogeneous population by observing choices from an assortment of products, ads, or other offerings. Our observation model takes a form common in assortment planning applications:…
Nowadays hybrid evolutionary algorithms, i.e, heuristic search algorithms combining several mutation operators some of which are meant to implement stochastically a well known technique designed for the specific problem in question while…
This paper introduces a problem in which the state of a system needs to be determined through costly tests of its components by a limited number of testing units and before a given deadline. We also consider a closely related search problem…