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

We consider the constrained optimal control problem for the gradual-impulsive CTMDP model with the performance criteria being the expected total undiscounted costs (from the running cost and the cost from each time an impulse being…

In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…

The problem of simple $M-$ary hypothesis testing under a generic performance criterion that depends on arbitrary functions of error probabilities is considered. Using results from convex analysis, it is proved that an optimal decision rule…

We investigate high-dimensional nonconvex penalized regression, where the number of covariates may grow at an exponential rate. Although recent asymptotic theory established that there exists a local minimum possessing the oracle property…

It is common in inventory theory to consider policies that minimize the expected cost of ordering and holding goods or materials. Nevertheless, the realized cost is a random variable, and, as the Saint Petersburg Paradox reminds us, the…

Cumulative prospect theory (CPT) is known to model human decisions well, with substantial empirical evidence supporting this claim. CPT works by distorting probabilities and is more general than the classic expected utility and coherent…

We consider the problem of cost-optimal utilization of a crowdsourcing platform for binary, unsupervised classification of a collection of items, given a prescribed error threshold. Workers on the crowdsourcing platform are assumed to be…

We consider an autonomous navigation problem, whereby a traveler aims at traversing an environment in which an adversary tries to set an ambush. A two players zero sum game is introduced. Players' strategies are computed as random path…

Using big data to analyze consumer behavior can provide effective decision-making tools for preventing customer attrition (churn) in customer relationship management (CRM). Focusing on a CRM dataset with several different categories of…

We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…

We consider the problem of staffing large-scale service systems with multiple customer classes and multiple dedicated server pools under joint quality-of-service (QoS) constraints. We first analyze the case in which arrival rates are…

We deal with the convergence of the value function of an approximate control problem with uncertain dynamics to the value function of a nonlinear optimal control problem. The assumptions on the dynamics and the costs are rather general and…

We study chance constrained optimization problems $\min_x f(x)$ s.t. $P(\left\{ \theta: g(x,\theta)\le 0 \right\})\ge 1-\epsilon$ where $\epsilon\in (0,1)$ is the violation probability, when the distribution $P$ is not known to the decision…

This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…

In cyber-physical systems such as automobiles, measurement data from sensor nodes should be delivered to other consumer nodes such as actuators in a regular fashion. But, in practical systems over unreliable media such as wireless, it is a…

Continuous optimization based motion planners require specifying a maneuver class before calculating the optimal trajectory for that class. In traffic, the intentions of other participants are often unclear, presenting multiple maneuver…

This paper considers a Markov decision model for profit maximization of a cloud computing service provider catering to customers submitting jobs with firm real-time random deadlines. Customers are charged on a per-job basis, receiving a…

We consider the optimal appointment scheduling problem that incorporates patients' unpunctual behavior, where the unpunctuality is assumed to be time dependent, but additive. Our goal is to develop an optimal scheduling method for a large…

This study develops a framework for a class of constant modulus (CM) optimization problems, which covers binary constraints, discrete phase constraints, semi-orthogonal matrix constraints, non-negative semi-orthogonal matrix constraints,…

The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…