We develop a mathematical programming approach for the classical PSPACE - hard restless bandit problem in stochastic optimization. We introduce a hierarchy of n (where n is the number of bandits) increasingly stronger linear programming relaxations, the last of which is exact and corresponds to...

In this paper we deal with the time complexity of single- and identical parallel-machine scheduling problems in which the durations and precedence constraints of the activities are stochastic. The stochastic precedence constraints are given by GERT networks. First, we sketch the basic concepts...

In this paper we deal with the time complexity of single- and identical parallel-machine scheduling problems in which the durations and precedence constraints of the activities are stochastic. The stochastic precedence constraints are given by GERT networks. First, we sketch the basic concepts...

We consider scheduling a single server in a two-class M/M/1 queueing system with finite buffers subject to holding costs and rejection costs for rejected jobs. We use dynamic programming to investigate the structural properties of optimal policies. Provided that the delay of serving a job is...

We consider scheduling a single server in a two-class M/M/1 queueing system with finite buffers subject to holding costs and rejection costs for rejected jobs. We use dynamic programming to investigate the structural properties of optimal policies. Provided that the delay of serving a job is...

We consider the problem of allocating a single server to a system of queues with Poisson arrivals. Each queue represents a class of jobs and possesses a holding cost rate, general service distribution, and general set-up time distribution. The objective is to minimize the expected holding cost...

This paper addresses the problem of simultaneously determining a production sequence and production volumes of style goods. Style goods have one selling season per year. During the rest of the year, manufacturers of style goods build up the inventory while continuously reestimating the demand in...

This paper treats a continuous review, single product stochastic cycling problem with demand modelled as a Brownian motion process. A broad class of production policies is admitted: they may be nonstationary, non-Markovian, or, in fact, almost arbitrary. Control theory is used to show that,...