Related papers: Stochastic Production Planning with Regime Switchi…
This paper considers a stochastic production planning problem with regime switching. There are two regimes corresponding to different economic cycles. A factory is planning its production so as to minimize production costs. We analyze this…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
We develop a comprehensive mathematical and computational framework for optimal production planning in economies governed by stochastic regime switches driven by a continuous-time Markov chain. The value functions of the underlying…
Production systems deteriorate stochastically due to usage and may eventually break down, resulting in high maintenance costs at scheduled maintenance moments. This deterioration behavior is affected by the system's production rate. While…
Production logistics has an important role as a chain that connects the components of the production system. The most important goal of production logistics plans is to keep the flow of the production system well. However, compared to the…
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the coefficients comes from two aspects: the Brownian motion and…
The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…
Transmission system operators employ reserves to deal with unexpected variations of demand and generation to guarantee the security of supply. The French transmission system operator RTE dynamically sizes the required margins using a…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
Periodic dynamical systems, distinguished by their repetitive behavior over time, are prevalent across various engineering disciplines. In numerous applications, particularly within industrial contexts, the implementation of model…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
Supply chain disruptions and volatile demand pose significant challenges to the UK automotive industry, which relies heavily on Just-In-Time (JIT) manufacturing. While qualitative studies highlight the potential of integrating Artificial…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
Dynamic and evolving operational and economic environments present significant challenges for decision-making. We explore a simulation optimization problem characterized by non-stationary input distributions with regime-switching dynamics…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…