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

Dual-sourcing inventory systems, in which one supplier is faster (i.e. express) and more costly, while the other is slower (i.e. regular) and cheaper, arise naturally in many real-world supply chains. These systems are notoriously difficult…

This note proposes a distributed model predictive control (DMPC) scheme with switched cost functions for a class of spatially interconnected systems with communication constraints. Non-iterative and parallel communication strategy is…

The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit the convex analytic method and make three primary…

This paper studies a type of consumption preference where some adjustment costs are incured whenever the past spending maximum and the past spending minimum records are updated. This preference can capture the adverse effects of the…

We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to maximize his income. We model the…

We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…

We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…

We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…

In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted L\'evy process and the ruin time is considered with Parisian delay. Presence of the transaction costs…

This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…

Demand response (DR) has been demonstrated to be an effective method for reducing peak load and mitigating uncertainties on both the supply and demand sides of the electricity market. One critical question for DR research is how to…

We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…

Selective labels are a common feature of consequential decision-making applications, referring to the lack of observed outcomes under one of the possible decisions. This paper reports work in progress on learning decision policies in the…

This paper studies the finite-horizon robust optimal control of constrained linear systems subject to model mismatch and additive stochastic disturbances. Utilizing the system level synthesis (SLS) parameterization, we propose a novel SLS…

We study continuity and robustness properties of infinite-horizon average expected cost problems with respect to (controlled) transition kernels, and applications of these results to the problem of robustness of control policies designed…

We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…

Policy iteration is one of the classical frameworks of reinforcement learning, which requires a known initial stabilizing control. However, finding the initial stabilizing control depends on the known system model. To relax this requirement…

We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action; pay a fee and obtain additional information; or wait without acquiring…

We investigate the exploration of an unknown environment when no reward function is provided. Building on the incremental exploration setting introduced by Lim and Auer [1], we define the objective of learning the set of $\epsilon$-optimal…

Traditional solvable optimal control theory predominantly focuses on quadratic costs due to their analytical tractability, yet they often fail to capture critical non-linearities inherent in real-world systems including water, energy,…