相关论文: A Complete Algebraic Solution to the Optimal Dynam…

We investigate the optimal pricing strategy in a service-providing framework, where customers can leave the system prior to service completion. In this setting, a price is quoted to an incoming customer based on the current number of…

Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends…

We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…

We present an analysis of large-scale load balancing systems, where the processing time distribution of tasks depends on both the task and server types. Our study focuses on the asymptotic regime, where the number of servers and task types…

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…

Many policies involve dynamics in their treatment assignments, where individuals receive sequential interventions over multiple stages. We study estimation of an optimal dynamic treatment regime that guides the optimal treatment assignment…

This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…

In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…

We introduce a new class of adaptive policies called periodic-affine policies, that allows a decision maker to optimally manage and control large-scale newsvendor networks in the presence of uncertain demand without distributional…

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…

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…

In this paper, we present long-awaited algorithmic advances toward the efficient construction of near-optimal replenishment policies for a true inventory management classic, the economic warehouse lot scheduling problem. While this paradigm…

In this paper, we address the optimal control of stochastic matching models on general graphs and single arrivals having fixed arrival rates, as introduced in \cite{MaiMoy16}. On the `N-shaped' graph, by following the dynamic programming…

Caching and multicasting at base stations are two promising approaches to support massive content delivery over wireless networks. However, existing scheduling designs do not make full use of the advantages of the two approaches. In this…

In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…

Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…

Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual…

We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize their dividend stream minus the cost of injecting capital, if…

The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…

To overcome the curse of dimensionality and curse of modeling in Dynamic Programming (DP) methods for solving classical Markov Decision Process (MDP) problems, Reinforcement Learning (RL) algorithms are popular. In this paper, we consider…