相关论文: Stochastic Knapsack Problem Revisited: Switch-Over…

Motivated by real-world applications such as rental and cloud computing services, we investigate pricing for reusable resources. We consider a system where a single resource with a fixed number of identical copies serves customers with…

Ridesharing markets are complex: drivers are strategic, rider demand and driver availability are stochastic, and complex city-scale phenomena like weather induce large scale correlation across space and time. At the same time, past work has…

In this paper, we consider a new problem of portfolio optimization using stochastic information. In a setting where there is some uncertainty, we ask how to best select $k$ potential solutions, with the goal of optimizing the value of the…

This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…

Robust control of complex engineered and biological systems hinges on the integration of feedforward and feedback mechanisms. This is exemplified in neural motor control, where feedforward muscle co-contraction complements sensory-driven…

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…

We study sequential cost-efficient design in a situation where each update of covariates involves a fixed time cost typically considerable compared to a single measurement time. The problem arises from parameter estimation in switching…

This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…

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…

We examine a multi-stage stochastic optimization problem characterized by stagewise-independent, decision-dependent noises with strict constraints. The problem assumes convexity in that, following a specific relaxation, it transforms into a…

The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be…

This paper addresses the problem of learning the optimal control policy for a nonlinear stochastic dynamical system with continuous state space, continuous action space and unknown dynamics. This class of problems are typically addressed in…

In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by switching between different states/investments. However, he is…

We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…

Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…

Dynamic vehicle routing problems (DVRPs) arise in several applications such as technician routing, meal delivery, and parcel shipping. We consider the DVRP with stochastic customer requests (DVRPSR), in which vehicles must be routed…

Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…

The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…

We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…

We study the incremental knapsack problem, where one wishes to sequentially pack items into a knapsack whose capacity expands over a finite planning horizon, with the objective of maximizing time-averaged profits. While various…