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Individuals are often faced with temptations that can lead them astray from long-term goals. We're interested in developing interventions that steer individuals toward making good initial decisions and then maintaining those decisions over…

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…

We investigate online scheduling with commitment for parallel identical machines. Our objective is to maximize the total processing time of accepted jobs. As soon as a job has been submitted, the commitment constraint forces us to decide…

We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…

We propose a new iterative procedure to optimize the restart for meta-heuristic algorithms to solve combinatorial optimization, which uses independent algorithm executions. The new procedure consists of either adding new executions or…

Termination is a central property in sequential programming models: a term is terminating if all its reduction sequences are finite. Termination is also important in concurrency in general, and for message-passing programs in particular. A…

Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…

The recent explosion in the amount and dimensionality of data has exacerbated the need of trading off computational and statistical efficiency carefully, so that inference is both tractable and meaningful. We propose a framework that…

This paper presents a derivation of the explicit price for the perpetual American put option time-capped by the first drawdown epoch beyond a predefined level. We consider the market in which an asset price is described by geometric L\'evy…

Technical Debt management decisions always imply a trade-off among outcomes at different points in time. In such intertemporal choices, distant outcomes are often valued lower than close ones, a phenomenon known as temporal discounting.…

We study the online busy time scheduling model on heterogeneous machines. In our setting, jobs with uniform length arrive online with a deadline that becomes known to the algorithm at the job's arrival time. An algorithm has access to…

Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…

We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.

Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…

Optimization is an important module of modern machine learning applications. Tremendous efforts have been made to accelerate optimization algorithms. A common formulation is achieving a lower loss at a given time. This enables a…

In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager's payoff at the end of the year will then depend not…

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…

Obtaining a viable schedule baseline that meets all project constraints is one of the main issues for project managers. The literature on this topic focuses mainly on methods to obtain schedules that meet resource restrictions and, more…

The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…

We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…