We consider a class of time-varying stochastic control systems, with Borel state and action spaces, and possibly unbounded costs. The processes evolve according to a discrete-time equation x <Subscript>n + 1</Subscript>=G <Subscript>n</Subscript> (x <Subscript>n</Subscript> , a <Subscript>n</Subscript> , ξ<Subscript>n</Subscript>), n=0, 1, … , where the ξ<Subscript>n</Subscript> are i.i.d. ℜ<Superscript>k</Superscript>-valued random vectors whose...</superscript></subscript></subscript></subscript></subscript></subscript></subscript>

In general, a comparison Lemma for the solutions of Forward-Backward Stochastic Differential Equations (FBSDE) does not hold. Here we prove one for the backward component at the initial time, relying on certain monotonicity conditions on the coefficients of both components. Such a result is...

We study the scheduling of projects subject to general temporal constraints between activities such that the project net present value is maximized. The proposed algorithm is based on a first-order steepest ascent approach, where the steepest ascent directions are normalized by the supremum...

The paper analyzes stochastic optimization problems involving random fields on infinite directed graphs. The primary focus is on a problem of maximizing a concave functional of the field subject to a system of convex and linear constraints. The latter are specified in terms of linear operators...

This paper studies the optimal control of an M<Superscript>[x]</Superscript>/G/1 queue with two types of generally distributed random vacation: type 1 (long) and type 2 (short) vacations. The server is turned off and takes type 1 vacation whenever the system is empty. If the number of customers waiting in the system at...</superscript>

We study cooperation structures with the following property: Given any two feasible coalitions with non-empty intersection, its union is a feasible coalition again. These combinatorial structures have a direct relationship with graph communication situations and conference structures à la...

An optimal production planning for a stochastic manufacturing system is considered. The system consists of a single, failure-prone machine that produces a finite number of different products. The objective is to determine a rate of production that minimizes an average cost per unit time...

We consider the problem of estimating optima of integer programs { max <Emphasis Type="Bold">cx | A <Emphasis Type="Bold">x≤<Emphasis Type="Bold">b,<Emphasis Type="Bold">0≤<Emphasis Type="Bold">x≤<Emphasis Type="Bold">1, <Emphasis Type="Bold">x− integral} where <Emphasis Type="Bold">b<Emphasis Type="Bold">0, <Emphasis Type="Bold">c≥<Emphasis Type="Bold">0 are rational vectors and A is an arbitrary rational m×n matrix. Using randomized rounding we find an efficiently verifiable sufficient condition for optima of such...</emphasis></emphasis></emphasis></emphasis></emphasis></emphasis></emphasis></emphasis></emphasis></emphasis></emphasis>

In the paper pricing of the American option in a discrete time financial market with proportional transaction costs is studied. Lower bound for the price of the American contingent claim is obtained. Under sufficiently small transaction costs the formula for the cost of a strategy that...

In this paper, the optimization problem for a stopped Markov decision process with finite states and actions is considered over stopping times τ constrained so that ?τ≦α for some fixed α0. The problem is solved through randomization of stopping times and mathematical programming...