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We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…

交易与市场微观结构 · 定量金融 2020-01-31 Baron Law , Frederi Viens

Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…

最优化与控制 · 数学 2018-08-21 Linwei Xin , David A. Goldberg

Assemble-to-order approaches deal with randomness in demand for end items by producing components under uncertainty, but assembling them only after demand is observed. Such planning problems can be tackled by stochastic programming, but…

最优化与控制 · 数学 2023-11-23 Daniele Giovanni Gioia , Edoardo Fadda , Paolo Brandimarte

Supply chain management is an integrated approach for planning and controlling materials, information, and finances as they move in a process which begins from suppliers and ends with customers in forward approach. As distribution network…

最优化与控制 · 数学 2021-10-22 Mohammad Najjartabar Bisheh , Hamid Davoudpour , G. Reza nasiri

Modular design maximizes utility by using standardized components in large-scale systems. From a manufacturing perspective, it supports green technology by reducing material waste and improving reusability. Industrially, it offers economic…

新兴技术 · 计算机科学 2025-03-18 Sumin Lee , Namwoo Kang

We consider a network inventory system motivated by one-way, on-demand vehicle sharing services. Under uncertain and correlated network demand, the service operator periodically repositions vehicles to match a fixed supply with spatial…

机器学习 · 统计学 2025-10-20 Hansheng Jiang , Chunlin Sun , Zuo-Jun Max Shen

Efficient job-shop scheduling with transportation resources is critical for high-performance manufacturing. With the rise of "decentralized factories", multi-agent reinforcement learning has emerged as a promising approach for the combined…

人工智能 · 计算机科学 2026-04-28 Moritz Link , Jonathan Hoss , Noah Klarmann

Modular robots have the potential to revolutionize automation, as one can optimize their composition for any given task. However, finding optimal compositions is non-trivial. In addition, different compositions require different base…

机器人学 · 计算机科学 2026-03-10 Matthias Mayer , Matthias Althoff

Cell inconsistency within a lithium-ion battery system poses a significant challenge in maximizing the system operational time. This study presents an optimization-driven active balancing method to minimize the effects of cell inconsistency…

系统与控制 · 电气工程与系统科学 2024-05-03 Yiming Xu , Xiaohua Ge , Ruohan Guo , Weixiang Shen

Topology optimization of modular structures and mechanisms enables balancing the performance of automatically-generated individualized designs, as required by Industry 4.0, with enhanced sustainability by means of component reuse. For…

材料科学 · 物理学 2022-05-25 Marek Tyburec , Martin Doškář , Jan Zeman , Martin Kružík

Production systems deteriorate stochastically due to usage and may eventually break down, resulting in high maintenance costs at scheduled maintenance moments. This deterioration behavior is affected by the system's production rate. While…

最优化与控制 · 数学 2023-12-07 Collin Drent , Melvin Drent , Joachim Arts

We consider a manufacturing plant that purchases raw materials for product assembly and then sells the final products to customers. There are M types of raw materials and K types of products, and each product uses a certain subset of raw…

最优化与控制 · 数学 2010-04-06 Michael J. Neely , Longbo Huang

This paper develops a data-driven, constraint-based optimization framework for a complex industrial job shop scheduling problem variant in pharmaceutical manufacturing. The formulation captures fixed routings and designated machines,…

We consider the classical discrete time lost-sales model under stationary continuous demand and linear holding and penalty costs and positive constant lead time. To date the optimal policy structure is only known implicitly by solving…

最优化与控制 · 数学 2024-10-21 Ton de Kok , Mirjam S. Meijer

A hierarchical Model Predictive Control (MPC) formulation is presented for coupled discrete-time linear systems with state and input constraints. Compared to a centralized approach, a two-level hierarchical controller, with one controller…

系统与控制 · 电气工程与系统科学 2022-02-24 Vignesh Raghuraman , Justin P. Koeln

We consider the problem of synchronizing two electric power generators, one of which (the leader) is serving a time-varying electrical load, so that they can ultimately be connected to form a single power system. Each generator is described…

系统与控制 · 电气工程与系统科学 2019-09-11 Olaoluwapo Ajala , Alejandro Dominguez-Garcia , Daniel Liberzon

The goal of a typical adaptive sequential decision making problem is to design an interactive policy that selects a group of items sequentially, based on some partial observations, to maximize the expected utility. It has been shown that…

机器学习 · 计算机科学 2021-11-02 Shaojie Tang , Jing Yuan

A moldable job is a job that can be executed on an arbitrary number of processors, and whose processing time depends on the number of processors allotted to it. A moldable job is monotone if its work doesn't decrease for an increasing…

数据结构与算法 · 计算机科学 2018-01-09 Klaus Jansen , Felix Land

We develop a parsimonious model of an e-commerce fulfillment center that offers time-dependent shipment options and corresponding fees to utility-maximizing customers arriving according to a Poisson process. For any such policy, we provide…

最优化与控制 · 数学 2025-11-26 Uta Mohring , Melvin Drent , Ivo Adan , Willem van Jaarsveld

We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…