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

This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…

We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…

Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…

In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…

We study an optimal-control problem of polling systems with large switchover times, when a holding cost is incurred on the queues. In particular, we consider a stochastic network with a single server that switches between several buffers…

In this paper, we study the constrained stochastic submodular maximization problem with state-dependent costs. The input of our problem is a set of items whose states (i.e., the marginal contribution and the cost of an item) are drawn from…

We give new approximation algorithms for the submodular joint replenishment problem and the inventory routing problem, using an iterative rounding approach. In both problems, we are given a set of $N$ items and a discrete time horizon of…

From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…

A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be…

It has long been observed that the performance of evolutionary algorithms and other randomized search heuristics can benefit from a non-static choice of the parameters that steer their optimization behavior. Mechanisms that identify…

We study the joint scheduling of behind-the-meter distributed energy resources (DERs), including flexible loads, renewable generation, and battery energy storage systems, under net energy metering tariffs with demand charges. The problem is…

We study the problem of optimal state-feedback tracking control for unknown discrete-time deterministic systems with input constraints. To handle input constraints, state-of-art methods utilize a certain nonquadratic stage cost function,…

In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…

The recently introduced energy-saving extension of the sub-optimal sliding mode control allows for control-off phases during the convergence to second-order equilibrium. This way, it enables for a lower energy consumption compared to the…

The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…

We describe a novel decision-making problem developed in response to the demands of retail electronic commerce (e-commerce). While working with logistics and retail industry business collaborators, we found that the cost of delivery of…

Given a discounted cost, we study deterministic discrete-time systems whose inputs are generated by policy iteration (PI). We provide novel near-optimality and stability properties, while allowing for non stabilizing initial policies. That…

Reconfigurable intelligent surfaces (RISs) are often assumed to allow continuous phase control over all elements, leading to hardware cost that scales with the number of elements. Treating the phase of each element as a discrete variable is…

We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…

We pose the decumulation strategy for a Defined Contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset allocation strategy. We impose maximum and minimum constraints…