Related papers: Optimal local storage policy based on stochastic i…
In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…
The mean completion time of a stochastic process may be rendered finite and minimised by a judiciously chosen restart protocol, which may either be stochastic or deterministic. Here we study analytically an arbitrary stochastic search…
This paper investigates sequencing policies for file reading requests in linear storage devices, such as magnetic tapes. Tapes are the technology of choice for long-term storage in data centers due to their low cost and reliability.…
Previous researches have shown that adding local memory can accelerate the consensus. It is natural to ask questions like what is the fastest rate achievable by the $M$-tap memory acceleration, and what are the corresponding control…
Calculating optimal policies is known to be computationally difficult for Markov decision processes (MDPs) with Borel state and action spaces. This paper studies finite-state approximations of discrete time Markov decision processes with…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
We study the trajectory optimization problem under chance constraints for continuous-time stochastic systems. To address chance constraints imposed on the entire stochastic trajectory, we propose a framework based on the set erosion…
We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is solved through the so-called Kelly criterion, according to…
We propose explicitly incorporating large-scale load siting into a stochastic nodal power system capacity expansion planning model that concurrently co-optimizes generation, transmission and storage expansion. The potential operational…
The maximization of reach-avoid probabilities for stochastic systems is a central topic in the control literature. Yet, the available methods are either restricted to low-dimensional systems or suffer from conservative approximations. To…
Policy optimization methods with function approximation are widely used in multi-agent reinforcement learning. However, it remains elusive how to design such algorithms with statistical guarantees. Leveraging a multi-agent performance…
Preferences play a key role in determining what goals/constraints to satisfy when not all constraints can be satisfied simultaneously. In this work, we study preference-based planning in a stochastic system modeled as a Markov decision…
We consider the stochastic extensible bin packing problem (SEBP) in which $n$ items of stochastic size are packed into $m$ bins of unit capacity. In contrast to the classical bin packing problem, the number of bins is fixed and they can be…
In the stochastic linear contextual bandit setting there exist several minimax procedures for exploration with policies that are reactive to the data being acquired. In practice, there can be a significant engineering overhead to deploy…
There are no computationally feasible algorithms that provide solutions to the finite horizon Risk-sensitive Constrained Markov Decision Process (Risk-CMDP) problem, even for problems with moderate horizon. With an aim to design the same,…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
We address the problem of finding an optimal policy in a Markov decision process under a restricted policy class defined by the convex hull of a set of base policies. This problem is of great interest in applications in which a number of…
In this work we consider the problem of an optimal geographic placement of content in wireless cellular networks modelled by Poisson point processes. Specifically, for the typical user requesting some particular content and whose popularity…
Several real-time delay-sensitive applications pose varying degrees of freshness demands on the requested content. The performance of cache replacement policies that are agnostic to these demands is likely to be sub-optimal. Motivated by…