Related papers: The stochastic goodwill problem
We study non-smooth stochastic decentralized optimization problems over time-varying networks, where objective functions are distributed across nodes and network connections may intermittently appear or break. Specifically, we consider two…
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
Due to numerous applications in retail and (online) advertising the problem of assortment selection has been widely studied under many combinations of discrete choice models and feasibility constraints. In many situations, however, an…
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…
We consider the problem of controlling an unknown linear dynamical system under a stochastic convex cost and full feedback of both the state and cost function. We present a computationally efficient algorithm that attains an optimal…
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
When optimizing problems with uncertain parameter values in a linear objective, decision-focused learning enables end-to-end learning of these values. We are interested in a stochastic scheduling problem, in which processing times are…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
Opinion dynamics is nowadays a very common field of research. In this article we formulate and then study a novel, namely strategic perspective on such dynamics: There are the usual normal agents that update their opinions, for instance…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
We consider distributionally robust optimal control of stochastic linear systems under signal temporal logic (STL) chance constraints when the disturbance distribution is unknown. By assuming that the underlying predicate functions are…
We propose stochastic control policies to cope with uncertain and variable gas extractions in natural gas networks. Given historical gas extraction data, these policies are optimized to produce the real-time control inputs for nodal gas…
This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…
The paper investigates stochastic resource allocation problems with scarce, reusable resources and non-preemtive, time-dependent, interconnected tasks. This approach is a natural generalization of several standard resource management…
In robust combinatorial optimization, we would like to find a solution that performs well under all realizations of an uncertainty set of possible parameter values. How we model this uncertainty set has a decisive influence on the…