This paper addresses constrained Markov decision processes, with expected discounted total cost criteria, which are controlled by non-randomized policies. A dynamic programming approach is used to construct optimal policies. The convergence of the series of finite horizon value functions to the...

For sequential decision processes with countable state spaces, we prove compactness of the set of strategic measures corresponding to nonrandomized policies. For the Borel state case, this set may not be compact (Piunovskiy, Optimal control of random sequences in problems with constraints....

In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a...

We consider a production model with two facilities sharing a resource during a time horizon consisting of a number of time periods. Cumulative production levels at the ends of consecutive periods are linked with constraints of a general form. This allows us to give different interpretations...

We study the problems of scheduling jobs, with different release dates and equal processing times, on two types of batching machines. All jobs of the same batch start and are completed simultaneously. On a serial batching machine, the length of a batch equals the sum of the processing times of...

Multi-class service systems are of increasing importance in the practical modelling world but present a significant challenge for analysis. Most results to date concerning the optimal dynamic control of such systems have assumed holding cost rates to be linear in the number of customers present....

In this paper we apply a new framework for the study of monotonicity in queueing systems to stochastic scheduling models. This allows us a unified treatment of many different models, among which are multiple and single server models (with and without feedback), discrete and continuous time...

In this paper we consider a firm that employs heterogeneous workers to meet demand for its product or service. Workers differ in their skills, speed, and/or quality, and they randomly leave, or turn over. Each period the firm must decide how many workers of each type to hire or fire in order to...

We study the problem of optimally controlling a multiserver queueing system. Customers arrive in a Poisson fashion and join a single queue, served by N servers, S 1 ,S 2 ,… , S N . The servers have different rates. The service times at each server are independent and exponentially distributed....