相关论文: Optimal Purchasing Policy For Mean-Reverting Items…

This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…

This paper deals with the unconstrained and constrained cases for continuous-time Markov decision processes under the finite-horizon expected total cost criterion. The state space is denumerable and the transition and cost rates are allowed…

In this paper, we consider a finite horizon non-stationary inventory system with setup costs. We detail an algorithm to find an approximate optimal policy and the basic idea is to use numerical procedure for computing integrals involved in…

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 paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage…

We propose a formulation of the stochastic cutting stock problem as a discounted infinite-horizon Markov decision process. At each decision epoch, given current inventory of items, an agent chooses in which patterns to cut objects in stock…

This paper researches the problem of purchasing deferred term insurance in the context of financial planning to maximize the probability of achieving a personal financial goal. Specifically, our study starts from the perspective of hedging…

This note re-visits the rolling-horizon control approach to the problem of a Markov decision process (MDP) with infinite-horizon discounted expected reward criterion. Distinguished from the classical value-iteration approach, we develop an…

The infinite horizon setting is widely adopted for problems of reinforcement learning (RL). These invariably result in stationary policies that are optimal. In many situations, finite horizon control problems are of interest and for such…

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…

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…

This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…

We consider a periodic-review, fixed-lifetime perishable inventory control problem where demand is a general stochastic process. The optimal solution for this problem is intractable due to "curse of dimensionality". In this paper, we first…

Model Predictive Control has emerged as a popular tool for robots to generate complex motions. However, the real-time requirement has limited the use of hard constraints and large preview horizons, which are necessary to ensure safety and…

We consider the dynamic inventory problem with non-stationary demands. It has long been known that non-stationary (s, S) policies are optimal for this problem. However, finding optimal policy parameters remains a computational challenge as…

We consider the problem of designing a control policy for an infinite-horizon discounted cost Markov decision process $\mathcal{M}$ when we only have access to an approximate model $\hat{\mathcal{M}}$. How well does an optimal policy…

We consider the problem of selling perishable items to a stream of buyers in order to maximize social welfare. A seller starts with a set of identical items, and each arriving buyer wants any one item, and has a valuation drawn i.i.d. from…

This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…

Energy storage scheduling problems, where a storage is operated to maximize its profit in response to a price signal, are essentially infinite-horizon optimization problems as storage systems operate continuously, without a foreseen end to…

This paper considers the problem of finding near-optimal Markovian randomized (MR) policies for finite-state-action, infinite-horizon, constrained risk-sensitive Markov decision processes (CRSMDPs). Constraints are in the form of standard…