Related papers: Optimal supply against fluctuating demand
Supply chains are fundamental to the economy of the world and many supply chains focus on perishable items, such as food, or even clothing that is subject to a limited shelf life due to fashion and seasonable effects. G-networks have not…
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different terminal…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
Supplement 1 to GUM (GUM-S1) recommends the use of maximum entropy principle (MaxEnt) in determining the probability distribution of a quantity having specified properties, e.g., specified central moments. When we only know the mean value…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
Detailed empirical studies of publicly traded business firms have established that the standard deviation of annual sales growth rates decreases with increasing firm sales as a power law, and that the sales growth distribution is…
In this paper we consider the problem of finding stable maxima of expensive (to evaluate) functions. We are motivated by the optimisation of physical and industrial processes where, for some input ranges, small and unavoidable variations in…
Fashion discounters face the problem of ordering the right amount of pieces in each size of a product. The product is ordered in pre-packs containing a certain size-mix of a product. For this so-called lot-type design problem, a stochastic…
A distributional route to Gaussianity, associated with the concept of Conservative Mixing Transformations in ensembles of random vector-valued variables, is proposed. This route is completely different from the additive mechanism…
The unique fluctuation-dissipation theorem for equilibrium stands in contrast with the wide variety of nonequilibrium linear response formulae. Their most traditional approach is "analytic", which, in the absence of detailed balance,…
Increasingly, a huge amount of statistics have been gathered which clearly indicates that income and wealth distributions in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas…
The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased"…
We obtain an optimal bound for a Gaussian approximation of a large class of vector-valued random processes. Our results provide a substantial generalization of earlier results that assume independence and/or stationarity. Based on the decay…
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribution. Unlike previously known facts in this field, our main…
The growing amount of fluctuating renewable infeeds and market liberalization increases uncertainty in power system operation. To capture the influence of fluctuations in operational planning, we model the forecast errors of the uncertain…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
In Bayesian statistics probability distributions express beliefs. However, for many problems the beliefs cannot be computed analytically and approximations of beliefs are needed. We seek a loss function that quantifies how "embarrassing" it…
We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…