相关论文: The stochastic goodwill problem

In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…

In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…

Finding the optimal assignment in budget-constrained auctions is a combinatorial optimization problem with many important applications, a notable example being the sale of advertisement space by search engines (in this context the problem…

We propose a new optimal model of product goodwill in a segmented market where the state variable is described by a partial differential equation of the Lotka--Sharp--McKendrick type. In order to maximize the sum of discounted profits over…

Internet advertising is a sophisticated game in which the many advertisers "play" to optimize their return on investment. There are many "targets" for the advertisements, and each "target" has a collection of games with a potentially…

We study a principal-agent problem with adverse selection, where the principal does not know the agent's true cost but must design a contract to optimize a specific criterion. Unlike standard screening frameworks that allow for…

The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…

This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…

This paper deals with a class of optimal control problems which arises in advertising models with Volterra Ornstein-Uhlenbeck process representing the product goodwill. Such choice of the model can be regarded as a stochastic modification…

We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…

Recent low-thrust space missions have highlighted the importance of designing trajectories that are robust against uncertainties. In its complete form, this process is formulated as a nonlinear constrained stochastic optimal control…

To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables…

Internet search companies sell advertisement slots based on users' search queries via an auction. Advertisers have to determine how to place bids on the keywords of their interest in order to maximize their return for a given budget: this…

We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…

Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…

In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…

We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the…

This paper studies optimal control problems of unknown linear systems subject to stochastic disturbances of uncertain distribution. Uncertainty about the stochastic disturbances is usually described via ambiguity sets of probability…

In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…