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

We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…

In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…

In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…

We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…

The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…

We consider a single-echelon inventory system under periodic review with two suppliers facing stochastic demand, where excess demand is backlogged. The expedited supplier has a shorter lead time than the regular supplier but charges a…

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 design of wireless queueing network control policies with particular focus on combining stability with additional application-dependent requirements. Thereby, we consequently pursue a cost function based approach that…

We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

This paper considers optimal control problems defined by a monotone dynamical system, a monotone cost, and monotone constraints. We identify families of such problems for which the optimal solution is bang-ride, i.e., always operates on the…

Motivated by original equipment manufacturer (OEM) service and maintenance practices we consider a single component subject to replacements at failure instances and two types of preventive maintenance opportunities: scheduled, which occur…

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…

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…

We study a Bayesian binary sequential hypothesis testing problem with multiple large language models (LLMs). Each LLM $j$ has per-query cost $c_j>0$, random waiting time with mean $\mu_j>0$ and sub-Gaussian tails, and \emph{asymmetric}…

We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…

This thesis is concerned with the rejection of time-varying disturbances in linear model predictive control of discrete-time systems. In the literature, disturbances are widely rejected by using velocity models, disturbance model with…

We study deterministic, discrete linear time-invariant systems with infinite-horizon discounted quadratic cost. It is well-known that standard stabilizability and detectability properties are not enough in general to conclude stability…

Industrial Vending Machines (IVMs) automate the dispensing of a variety of supplies like safety equipment and tools at customer sites, providing 24/7 access while tracking inventory in real-time. Industrial distribution companies typically…

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…