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

This paper considers a cross-layer adaptive modulation system that is modeled as a Markov decision process (MDP). We study how to utilize the monotonicity of the optimal transmission policy to relieve the computational complexity of dynamic…

Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…

In modern robotics, effectively computing optimal control policies under dynamically varying environments poses substantial challenges to the off-the-shelf parametric policy gradient methods, such as the Deep Deterministic Policy Gradient…

We consider the problem of customer equilibrium behavior of a single server Markovian queue with dynamic control of the service rate. Customers arrive according a Poisson procedure and the system administrator makes a service rate choice…

To address efficiency and design challenges in choice-based matching platforms, we introduce a two-sided assortment optimization framework under general choice preferences. The goal in this problem is to maximize the expected number of…

We investigate a dividend maximization problem under stochastic interest rates with Ornstein-Uhlenbeck dynamics. This setup also takes negative rates into account. First a deterministic time is considered, where an explicit separating curve…

A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…

We explore the question of how to learn an optimal search strategy within the example of a parking problem where parking opportunities arrive according to an unknown inhomogeneous Poisson process. The optimal policy is a threshold-type…

We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…

This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…

This paper studies some unconventional utility maximization problems when the ratio type relative portfolio performance is periodically evaluated over an infinite horizon. Meanwhile, the agent is prohibited from short-selling stocks. Our…

In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…

This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…

We consider a polling system with two queues, exhaustive service, no switch-over times and exponential service times. The waiting cost depends on the position of the queue relative to the server: It costs a customer c per time unit to wait…

A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…

A trade-off between two QoS requirements of wireless sensor networks: query waiting time and validity (age) of the data feeding the queries, is investigated. We propose a Continuous Time Markov Decision Process with a drift that trades-off…

In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…

A well-know control policy in stochastic inventory control is the (R, s, S) policy, in which inventory is raised to an order-up-to-level S at a review instant R whenever it falls below reorder-level s. To date, little or no work has been…

This article solves an optimal control problem arising in attitude control of a spacecraft under state and control constraints. We first derive the discrete-time attitude dynamics by employing discrete mechanics. The orientation transfer,…

We consider two-stage tandem queueing systems with one dedicated server in each station and a flexible server that can serve both stations. We assume exponential service times, linear holding costs accrued by jobs present in the system, and…