相关论文: Bounds on performance measures for the (r, q) lost…

We develop the equilibrium equations for the a model generalizing the continuous review (r, q) lost-sales model with constant lead time, multiple outstanding orders and unit Poisson demand. Demand rate is allowed to depend on inventory…

We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…

We consider the canonical periodic review lost sales inventory system with positive lead-times and stochastic i.i.d. demand under the average cost criterion. We introduce a new policy that places orders such that the expected inventory…

We study a supply chain consisting of production-inventory systems at several locations which are coupled by a common supplier. Demand of customers arrives at each production system according to a Poisson process and is lost if the local…

We consider a stochastic lost-sales inventory control system with a lead time $L$ over a planning horizon $T$. Supply is uncertain, and is a function of the order quantity (due to random yield/capacity, etc). We aim to minimize the…

We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…

We consider a general class of high-volume, fast-moving production-inventory systems based on both lost-sales and backorder inventory models. Such systems require a fundamental understanding of the asymptotic behavior of key performance…

The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…

Lost sales inventory models with large lead times, which arise in many practical settings, are notoriously difficult to optimize due to the curse of dimensionality. In this paper we show that when lead times are large, a very simple…

We study online aggregation of the predictions of experts, and first show new second-order regret bounds in the standard setting, which are obtained via a version of the Prod algorithm (and also a version of the polynomially weighted…

We study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponential. Although simplistic, the model…

We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…

We study the canonical periodic review lost sales inventory system with positive leadtime and independent and identically distributed (i.i.d.) demand under the average cost criterion. We demonstrate that the relative value function under…

A multi-channel queueing system is considered. The arriving requests differ in their type. Requests of each type arrive according to a Poisson process. The number of channels required for service with the rate equal to 1 depends of the…

We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…

We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequencies of buy limit orders below a given price level, respectively sell limit…

A two-sided exit problem is solved for a difference of a compound Poisson process and a compound renewal process. More precisely, the Laplace transforms of the joint distribution of the first exit time, the value of the overshoot and the…

This paper designs a model predictive control (MPC) law for constrained linear systems with stochastic additive disturbances and noisy measurements, minimising a discounted cost subject to a discounted expectation constraint. It is assumed…

Products with intermittent demand are characterized by a high risk of sales losses and obsolescence due to the sporadic occurrence of demand events. Generally, both point forecasting and probabilistic forecasting approaches are applied to…

We consider the $[0,1]$-valued regression problem in the i.i.d. setting. In a related problem called cost-sensitive classification, \citet{foster21efficient} have shown that the log loss minimizer achieves an improved generalization bound…