相关论文: Cash-Flow Based Dynamic Inventory Management

Dynamic max-min fair allocation (DMMF) is a simple and popular mechanism for the repeated allocation of a shared resource among competing agents: in each round, each agent can choose to request or not for the resource, which is then…

In this paper, we study a dynamic on/off server scheduling problem in a queueing system with multi-class servers, where servers are heterogeneous and can be classified into $K$ groups. Servers in the same group are homogeneous. A scheduling…

We consider an online resource allocation problem where multiple resources, each with an individual initial capacity, are available to serve random requests arriving sequentially over multiple discrete time periods. At each time period, one…

Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with…

We study flow shop scheduling with stochastic reentry, where jobs must complete multiple passes through the entire shop, and the number of passes that a job requires for completion is drawn from a discrete probability distribution. The goal…

We study distributed load balancing in bipartite queueing systems where frontends route jobs to heterogeneous backends with workload-dependent service rates. The system's connectivity -- governed by compatibility constraints such as data…

In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…

This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…

We study multi-product inventory control problems where a manager makes sequential replenishment decisions based on partial historical information in order to minimize its cumulative losses. Our motivation is to consider general demands,…

We consider Markovian many-server systems with admission control operating in a QED regime, where the relative utilization approaches unity while the number of servers grows large, providing natural Economies-of-Scale. In order to determine…

We consider models of content delivery networks in which the servers are constrained by two main resources: memory and bandwidth. In such systems, the throughput crucially depends on how contents are replicated across servers and how the…

This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…

Motivated by applications from gig economy and online marketplaces, we study a two-sided queueing system under joint pricing and matching controls. The queueing system is modeled by a bipartite graph, where the vertices represent customer…

$ $In many optimization problems, a feasible solution induces a multi-dimensional cost vector. For example, in load-balancing a schedule induces a load vector across the machines. In $k$-clustering, opening $k$ facilities induces an…

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…

We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…

We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…

We consider the problem of customer equilibrium strategies in an M/M/1 queue under dynamic service control. The service rate switches between a low and a high value depending on system congestion. Arriving customers do not observe the…

We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…

The real-time joint optimization of inventory replenishment and vehicle routing is essential for cost-efficiently operating one-warehouse, multiple-retailer systems. This is complex, as future demand predictions should capture correlation…