相关论文: A Stochastic production planning problem

This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with delay in the control) and for which is difficult to apply the…

This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…

We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…

This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Brownian motion and a running maximum process, indicating its…

This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…

We consider the single-item single-stocking location stochastic inventory system under a fixed ordering cost component. A long-standing problem is that of determining the structure of the optimal control policy when this system is subject…

An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…

Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…

The literature on master production scheduling for product mix problems under the Theory of Constraints (TOC) was considered by many previous studies. Most studies assume a static resources availability. In this study, the raw materials…

Recent studies have extended the use of the stochastic Hamilton-Jacobi-Bellman (HJB) equation to include complex variables for deriving quantum mechanical equations. However, these studies often assume that it is valid to apply the HJB…

We study a family of stochastic control problems arising in typical applications (such as boundary control and control of delay equations with delay in the control) with the ultimate aim of finding solutions of the associated HJB equations,…

To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables…

Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…

This paper investigates a stochastic inventory management problem in which a cash-constrained small retailer periodically purchases a product from suppliers and sells it to a market while facing non-stationary demands. In each period, the…

This paper examines the objective of optimally harvesting a single species in a stochastic environment. This problem has previously been analyzed in Alvarez (2000) using dynamic programming techniques and, due to the natural payoff…

In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently, we derive the associated Hamilton-Jacobi-Bellman (HJB)…

Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency at which they…

In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…

In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…

We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…