相关论文: Unwinding Stochastic Order Flow: When to Warehouse…

Resource allocation for cloud services is a complex task due to the diversity of the services and the dynamic workloads. One way to address this is by overprovisioning which results in high cost due to the unutilized resources. A much more…

The coflow scheduling problem has emerged as a popular abstraction in the last few years to study data communication problems within a data center. In this basic framework, each coflow has a set of communication demands and the goal is to…

We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…

Stochastic orders are binary relations defined on probability distributions which capture intuitive notions like being larger or being more variable. This paper introduces stochastic ordering of instantaneous SNRs of fading channels as a…

We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system is modeled by the linear advection equation. We consider…

We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…

There is a great need to stock materials for production, but storing materials comes at a cost. Lack of organization in the inventory can result in a very high cost for the final product, in addition to generating other problems in the…

Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…

Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…

Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…

Motivated by applications such as urban traffic control and make-to-order systems, we study a fluid model of a single-server, on-off system that can accommodate multiple queues. The server visits each queue in order: when a queue is served,…

This paper introduces a novel theoretical framework and a suite of highly efficient, parallelizable algorithms for solving the large-scale multicommodity flow (MCF) feasibility problem. We reframe the classical constraint-satisfaction…

Lost sales inventory models with large lead times, which arise in many practical settings, are notoriously difficult to optimize due to the curse of dimensionality. In this paper we show that when lead times are large, a very simple…

Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in…

We revisit the Stochastic Knapsack problem, where a policy-maker chooses an execution order for jobs with fixed values and stochastic running-times, aiming to maximize the value completed by a deadline. Dean et al. (FOCS'04) show that…

This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…

Competitive analysis of online algorithms has commonly been applied to understand the behaviour of real-time systems during overload conditions. While competitive analysis provides insight into the behaviour of certain algorithms, it is…

This paper considers the vehicle routing problem with stochastic demands (VRPSD) under optimal restocking. We develop an exact algorithm that is effective for solving instances with many vehicles and few customers per route. In our…

Supply networks are essential for modern production, yet their critical properties remain understudied. We present a stochastic model with random production capacities to analyze material flow to a root node, focusing on topology and buffer…

Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position…