相关论文: Optimal Dynamic Procurement Policies for a Storabl…

A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…

In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…

We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…

This study presents a comprehensive approach to optimizing inventory management under stochastic demand by leveraging Monte Carlo Simulation (MCS) with grid search and Bayesian optimization. By using a business case of historical demand…

A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…

This paper investigates a class of stochastic Logistic harvesting models driven by tempered stable processes, with a one-sided power-law L\'evy measure. We establish threshold conditions for population extinction and persistence, prove the…

This paper studies convergence properties of optimal values and actions for discounted and average-cost Markov Decision Processes (MDPs) with weakly continuous transition probabilities and applies these properties to the stochastic…

Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…

This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…

This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…

A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments of the scale function that is capable of expressing many…

The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…

This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to…

We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…

We study an optimal extraction problem where the agent's actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, are evolved by a…

Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency at which they…

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…

Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…

Finding the optimal product prices and product assortment are two fundamental problems in revenue management. Usually, a seller needs to jointly determine the prices and assortment while managing a network of resources with limited…