相关论文: Asymptotic optimality of the generalized $c\mu$ ru…

In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…

This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…

Minimizing volatility and adjustment costs is of central importance in many economic environments, yet it is often complicated by evolving feasibility constraints. We study a decision maker who repeatedly selects an action from a…

Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…

We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…

This paper introduces and analyzes the notion of throughput suboptimality for many-server queueing systems in heavy traffic. The queueing model under consideration has multiple customer classes, indexed by a finite set $\mathcal{I}$, and…

Model Predictive Control (MPC) is often tuned by trial and error. When a baseline linear controller exists that is already well tuned in the absence of constraints and MPC is introduced to enforce them, one would like to avoid altering the…

Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…

We propose a new approach for solving a class of discrete decision making problems under uncertainty with positive cost. This issue concerns multiple and diverse fields such as engineering, economics, artificial intelligence, cognitive…

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 analyze the problem of identifying large cliques in graphs that are affected by adversarial uncertainty. More specifically, we consider a new formulation, namely the adversarial maximum clique problem, which extends the classical…

We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…

This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…

In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…

As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…

We study online task allocation for multi-robot, multi-queue systems with asymmetric stochastic arrivals and switching delays. We formulate the problem in discrete time: each location can host at most one robot per slot, servicing a task…

Consider the problem of a controller sampling sequentially from a finite number of $N \geq 2$ populations, specified by random variables $X^i_k$, $ i = 1,\ldots , N,$ and $k = 1, 2, \ldots$; where $X^i_k$ denotes the outcome from population…

In this article, we propose a novel characterization of law-invariant and coherent risk measures, based on a generalized optimal transport problem in which the second marginal of the admissible plans is not fixed, but required to lie within…

This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…

We propose a Model Predictive Control (MPC) with a single-step prediction horizon to approximate the solution of infinite horizon optimal control problems with the expected sum of convex stage costs for constrained linear uncertain systems.…