相关论文: Matching Supply and Demand in Production-Inventory…

When dealing with control systems, it is useful and even necessary to assess the performance of underlying transfer functions. The functions may or may not be linear, may or may not be even monotonic. In addition, they may have structural…

In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…

We present novel mathematical models for inventory management within a reverse logistics system. Technological advancements, sustainability initiatives, and evolving customer behaviours have significantly increased the demand for repaired…

We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…

This paper investigates the asymptotic behaviour of solutions to certain infinite systems of coupled recurrence relations. In particular, we obtain a characterisation of those initial values which lead to a convergent solution, and for…

Advanced integration of logistics systems has been promoted for the sake of competitiveness and sustainability. Such efforts will enable more globally optimal and flexible operations by efficiently utilizing transportation capacity. At the…

Inventory management in warehouses directly affects profits made by manufacturers. Particularly, large manufacturers produce a very large variety of products that are handled by a significantly large number of retailers. In such a case, the…

In this paper we study a periodic-review single-commodity setup-cost inventory model with backorders and holding/backlog costs satisfying quasiconvexity assumptions. We show that the Markov decision process for this inventory model…

Given data generated by an observable stochastic process, we study how to construct statistically optimal decisions for general stochastic optimization problems. Our setting encompasses non-standard data structures, including data…

The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…

This is a companion paper to (Cai, Rosenbaum and Tankov, Asymptotic lower bounds for optimal tracking: a linear programming approach, arXiv:1510.04295). We consider a class of strategies of feedback form for the problem of tracking and…

We study the problem of determining how much finished goods inventory to source from different capacitated facilities in order to maximize profits resulting from sales of such inventory. We consider a problem wherein there is uncertainty in…

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…

Inventory Routing Problem (IRP) is a crucial challenge in supply chain management as it involves optimizing efficient route selection while considering the uncertainty of inventory demand planning. To solve IRPs, usually a two-stage…

We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…

Technological advances allow manufacturers to collect and access data from a production system effectively. The objective of data collection is to deploy the collected data in developing decision support systems for performance evaluation,…

Supply networks are essential for modern production, yet their critical properties remain understudied. We present a stochastic model with random production capacities to analyze material flow to a root node, focusing on topology and buffer…

We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…

Hierarchical statistical models are widely employed in information science and data engineering. The models consist of two types of variables: observable variables that represent the given data and latent variables for the unobservable…

Supply chain optimization schemes have more often than not underplayed the role of inherent stochastic fluctuations in the associated variables. The present article focuses on the associated reengagement and correlated renormalization of…