We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...

This paper proposes a joint optimization approach for the production decisionmaking and inventory allocation in a fault-prone machine supply chain system, considering production and supply uncertainty as well as the impact of machine failure. A model based on Markov decision theory is presented...

We study the dynamic ambulance dispatch problem in emergency medical services, in which a decision-maker sequentially observes call arrivals and decides which unit to dispatch to service the call, where the service times follow independent and heterogeneous distributions for each...

Stochastic gradient descent (SGD) has proven effective in solving many inventory control problems with demand learning. However, it often faces the pitfall of an infeasible target inventory level that is lower than the current inventory level. Several recent works (e.g., (Huh and...

Robust revenue management has received much interest from both academics and practitioners alike. But the airlines have not embraced it for its current inadequacy to address the practical needs for both fine control of conservatism and the adaptability to changing environments. The single-leg...