相关论文: Impulse Control with Discontinuous Setup Costs: Di…

We consider a stochastic inventory control problem under censored demands, lost sales, and positive lead times. This is a fundamental problem in inventory management, with significant literature establishing near-optimality of a simple…

Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such computations are based on regression, a method that suffers from…

This paper studies optimal switching on and o? of the entire service capacity of an M/M/Infinity queue with holding, running and switching costs where the running costs depend only on whether the system is running or not. The goal is to…

In this paper, we study a new stochastic submodular maximization problem with state-dependent costs and rejections. The input of our problem is a budget constraint $B$, and a set of items whose states (i.e., the marginal contribution and…

Stochastic gradient descent (SGD) has proven effective in solving many inventory control problems with demand learning. However, it often faces the pitfall of an infeasible target inventory level that is lower than the current inventory…

This paper introduces a continuous-time constrained nonlinear control scheme which implements a model predictive control strategy as a continuous-time dynamic system. The approach is based on the idea that the solution of the optimal…

We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…

This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…

We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order…

Adaptive optimal control of nonlinear dynamic systems with deterministic and known dynamics under a known undiscounted infinite-horizon cost function is investigated. Policy iteration scheme initiated using a stabilizing initial control is…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

This paper presents a novel convex optimization-based method for finding the globally optimal solutions of a class of mixed-integer non-convex optimal control problems. We consider problems with non-convex constraints that restrict the…

Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…

We investigate the problem of serving deferrable and nondeferrable electric demands with colocated stochastic supply and grid-imported electricity. Deferrable demands arrive randomly and can be delayed within their service deadlines.…

The value of plant model information available in the control design process is discussed. We design optimal state-feedback controllers for interconnected discrete-time linear systems with stochastically-varying parameters. The parameters…

A data-based policy for iterative control task is presented. The proposed strategy is model-free and can be applied whenever safe input and state trajectories of a system performing an iterative task are available. These trajectories,…

In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…

We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed…

We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compartment models, we qualitatively characterize the dynamics of…

The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…