We consider optimal control problems for systems described by stochastic differential equations with delay. We state conditions for certain classes of such systems under which the stochastic control problems become finite-dimensional. These conditions are illustrated with three applications....

We show how to effectively use antithetic variables to evaluate the expected value of (a) functions of independent random variables, when the functions are monotonic in only some of their variables, (b) Schur functions of random permutations, and (c) monotone functions of random subsets....

The G/M/1 queue is one of the classical models of queueing theory. The goal of this paper is two-fold: (a) To introduce new derivations of some well-known results, and (b) to present some new results for the G/M/1 queue and its variants. In particular, we pay attention to the G/M/1 queue with a...

We consider a zero-sum stochastic game with side constraints for both players with a special structure. There are two independent controlled Markov chains, one for each player. The transition probabilities of the chain associated with a player as well as the related side constraints depend only...

We provide weak sufficient conditions for a full-service policy to be optimal in a queueing control problem in which the service rate is a dynamic decision variable. In our model there are service costs and holding costs and the objective is to minimize the expected total discounted cost over an...

This paper studies a non-preemptive infinite-horizon scheduling problem with a single server and a fixed set of recurring jobs. Each job is characterized by two given positive numbers: job duration and maximum allowable time between the job completion and its next start. We show that for a...

For real world railroad networks, we consider minimizing operational cost of train schedules which depend on choosing different train types of diverse speed and cost. We develop a mixed integer linear programming model for this train scheduling problem. For practical problem sizes, it seems to...