相关论文: On the stochastic inventory problem under order ca…

Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…

An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…

The resource management of a phase array system capable of multiple target tracking and surveillance is critical for the realization of its full potential. Present work aims to improve the performance of an existing method, time-balance…

The assortment planning problem is a central piece in the revenue management strategy of any company in the retail industry. In this paper, we study a robust assortment optimization problem for substitutable products under a sequential…

This paper addresses the two-stocking locations single item non-stationary stochastic lot-sizing problem. The inventory level at each location is reviewed periodically. Items can be reordered and received from a common central warehouse and…

In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…

We consider a scenario where a system experiences a disruption, and the states (representing health values) of its components continue to reduce over time, unless they are acted upon by a controller. Given this dynamical setting, we…

We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…

In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…

We consider the multi-item inventory lot-sizing problem with supplier selection. The problem consists of determining an optimal purchasing plan in order to satisfy dynamic deterministic demands for multiple items over a finite planning…

We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…

We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…

We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…

This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…

When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…

Recently, a theory for stochastic optimal control in non-linear dynamical systems in continuous space-time has been developed (Kappen, 2005). We apply this theory to collaborative multi-agent systems. The agents evolve according to a given…

Supply chain disruptions and volatile demand pose significant challenges to the UK automotive industry, which relies heavily on Just-In-Time (JIT) manufacturing. While qualitative studies highlight the potential of integrating Artificial…

A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…

We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary ($g_{ij}(t,x)\geq 0$). We show existence of the optimal strategy, and give when…

In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function.…