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We propose a scalable, policy-centric framework for continuous-time multi-asset portfolio-consumption optimization under inequality constraints. Our method integrates neural policies with Pontryagin's Maximum Principle (PMP) and enforces…
We study a novel multi-armed bandit problem that models the challenge faced by a company wishing to explore new strategies to maximize revenue whilst simultaneously maintaining their revenue above a fixed baseline, uniformly over time.…
Mixed Binary Quadratic Programs (MBQPs) are a class of NP-hard problems that arise in a wide range of applications, including finance, machine learning, and chemical and energy systems. Large-scale MBQPs are challenging to solve with exact…
We consider an assortment optimization problem under the multinomial logit choice model with general covering constraints. In this problem, the seller offers an assortment that should contain a minimum number of products from multiple…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
We study the problem of maximizing payoff generated over a period of time in a general class of closed queueing networks with a finite, fixed number of supply units which circulate in the system. Demand arrives stochastically, and serving a…
This paper addresses an integrated lot-sizing and scheduling problem in the industry of consumer goods for personal care, a very competitive market in which the good customer service level and the cost management show up in the competition…
This paper considers linear discrete-time systems with additive disturbances, and designs a Model Predictive Control (MPC) law incorporating a dynamic feedback gain to minimise a quadratic cost function subject to a single chance…
We study the Maximum Budgeted Allocation problem, which is the problem of assigning indivisible items to players with budget constraints. In its most general form, an instance of the MBA problem might include many different prices for the…
We study best-policy identification for finite-horizon risk-sensitive reinforcement learning under the entropic risk measure. Recent work established a constant gap in the exponential horizon dependence between lower and upper bounds on the…
The joint replenishment problem (JRP) is a classical inventory management problem. We consider a natural generalization with outliers, where we are allowed to reject (that is, not service) a subset of demand points. In this paper, we are…
We consider the problem of measuring the margin of robust feasibility of solutions to a system of nonlinear equations. We study the special case of a system of quadratic equations, which shows up in many practical applications such as the…
We consider the product knapsack problem, which is the variant of the classical 0-1 knapsack problem where the objective consists of maximizing the product of the profits of the selected items. These profits are allowed to be positive or…
We study an extension of the cardinality-constrained knapsack problem wherein each item has a concave piecewise linear utility structure (CCKP), which is motivated by applications such as resource management problems in monitoring and…
Increasing electricity prices in South Africa and the imminent threat of load shedding due to the overloaded power grid has led to a need for Demand Side Management (DSM) devices like smart grids. For smart grids to perform to their peak,…
The Joint Replenishment Problem (JRP) is a fundamental optimization problem in supply-chain management, concerned with optimizing the flow of goods from a supplier to retailers. Over time, in response to demands at the retailers, the…
Periodic operation often emerges as the economically optimal mode in industrial processes, particularly under varying economic or environmental conditions. This paper proposes a robust model predictive control (MPC) framework for uncertain…
It is of soaring demand to develop statistical analysis tools that are robust against contamination as well as preserving individual data owners' privacy. In spite of the fact that both topics host a rich body of literature, to the best of…
The online advertising management platform has become increasingly popular among e-commerce vendors/advertisers, offering a streamlined approach to reach target customers. Despite its advantages, configuring advertising strategies correctly…
We consider nonlinear model predictive control (MPC) with multiple competing cost functions. In each step of the scheme, a multiobjective optimal control problem with a nonlinear system and terminal conditions is solved. We propose an…