相关论文: On Linear Threshold Policies for Continuous-Time D…

A fundamental problem in revenue management is to optimally choose the attributes of products, such that the total profit or revenue or market share is maximized. Usually, these attributes can affect both a product's market share…

This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…

The vast majority of products we use daily are supplied to us through complex global supply chains that transform raw materials into finished goods and distribute them to end consumers. This paper proposes a modeling methodology for dynamic…

We study the tactical time slot management problem under mixed logit demand for attended home delivery in subscription settings. We propose a static mixed-integer linear programming model that integrates delivery slot assortment, price…

Stability under model predictive control (MPC) schemes is frequently ensured by terminal ingredients. Employing a (control) Lyapunov function as the terminal cost constitutes a common choice. Learning-based methods may be used to construct…

The aim of this survey is twofold. First we show how the Markov tower construction is applicable for obtaining finer stochastic properties, like a local limit theorem of probability theory. Here the fundamental method is the study of the…

We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…

We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…

Latency-sensitive embedded applications increasingly rely on edge computing, yet dynamic network congestion in multi-server architectures challenges proper edge server selection. This paper proposes a lightweight server-selection method for…

We consider the problem of customer equilibrium behavior of a single server Markovian queue with dynamic control of the service rate. Customers arrive according a Poisson procedure and the system administrator makes a service rate choice…

We study an OTC FX market-making problem, built on the Avellaneda-Stoikov tradition, in which a dealer streams size-dependent quotes on a discrete ladder and manages inventory risk over a finite horizon under Poisson arrivals of trade…

We study sequential multi-issue trading between two greedily rational agents who exchange resources from a finite set of categories. Each agent's utility depends on its allocation, but the offering agent does not know the responding agent's…

A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…

We study the warehouse problem, arising in the area of inventory management and production planning. Here, a merchant wants to decide an optimal trading policy that computes quantities of a single commodity to purchase, store and sell…

We study a system, where a random flow of customers is served by servers (called agents) invited on-demand. Each invited agent arrives into the system after a random time; after each service completion, an agent returns to the system or…

This paper proposes a finite-horizon approximation scheme and introduces episodic equilibrium as a solution concept for stochastic games (SGs), where agents strategize based on the current state and episode stage. The paper also establishes…

We introduce a variant of modal logic, dubbed EXISTENTIAL COUNTING MODAL LOGIC (ECML), which captures a vast majority of problems known to be tractable in single exponential time when parameterized by treewidth. It appears that all these…

We study the problem of maximizing payoff generated over a period of time in a general class of closed queueing networks with a finite, fixed number of supply units which circulate in the system. Demand arrives stochastically, and serving a…

We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…

Traditional reinforcement learning usually assumes either episodic interactions with resets or continuous operation to minimize average or cumulative loss. While episodic settings have many theoretical results, resets are often unrealistic…