Inventory models with lost sales and large lead times are notoriously difficult to manage due to the curse of dimensionality. Recently, Goldberg et al. (2016) and Xin and Goldberg (2016) proved that in the lost-sales inventory model with divisible products, as the lead time grows large, a simple...

We develop policy gradients methods for stochastic control with exit time in a model-free setting. We propose two types of algorithms for learning either directly the optimal policy or by learning alternately the value function (critic) and the optimal control (actor). The use of randomized...

In this paper, we study the problem of dynamic convex risk measures via reflected backward stochastic differential equations with time delayed generators (RBSDEs with time delayed generators, in short). Under some assumptions on the generators of the equations, we prove that the RBSDEs with a...

Pandemic bonds can be used as an effective tool to mitigate economic losses governments confronts during pandemic and transfer it to global capital market. Once considered ``uninsurable," pandemic bonds came to world attention with the World Bank pandemic bonds issuance in 2017. Compared to...

We consider a periodic-review single-product multi-echelon inventory problem with instantaneous replenishment. In each period, the decision-maker makes ordering decisions for all echelons. Any unsatisfied demand is backordered, and any excess inventory is carried to the next period. In contrast...

Companies can gain significant advantages from the integrated optimization of production, inventory, and routing in a supply chain. The production routing problem (PRP), which aims to jointly optimize production, inventory, and vehicle routing, is motivated in this fashion. In actuality, the...

I provide a model of deliberate stochastic choice over acts. In this model, the decision maker finds randomization desirable since it reduces responsibility and regret after the state uncertainty is resolved. I provide an axiomatic characterization of stochastic choices that are compatible with...

We introduce a stochastic share-a-ride problem with electric vehicles, in which passenger and parcel orders can be served in a shared manner by the same vehicle in a ride-hailing system. We assume that customer service requests arrive stochastically in the system. We consider that passenger...

We analyze the optimal delegation problem between a principal and an agent, assuming that the latter has state-independent preferences. Among all incentive- compatible direct mechanisms, veto mechanisms—in which the principal commits to mixing between the status quo option and another...

We consider the situation when the number of claims is unavailable, and a Tweedie’s compound Poisson model is fitted to the observed pure premium. Currently, there are two different models based on the Tweedie distribution: a single generalized linear model (GLM) for mean and a double...