We consider the problem of control for continuous time stochastic hybrid systems in finite time horizon. The systems considered are nonlinear: the state evolution is a nonlinear function of both the control and the state. The control parameters change at discrete times according to an underlying...

We are interested in structures and efficient methods for mixed-integer nonlinear programs (MINLP) that arise from a first discretize, then optimize approach to time-dependent mixed-integer optimal control problems (MIOCPs). In this study we focus on combinatorial constraints, in particular on...

This paper addresses an optimal inventory control in a supply chain in which customers arrive at a facility according to a Poisson process and the facility provides service which takes exponential amounts of time, using items supplied by an outside supplier with exponential lead time process....

We consider Markov Decision Processes under light traffic conditions. We develop an algorithm to obtain asymptotically optimal policies for both the total discounted and the average cost criterion. This gives a general framework for several light traffic results in the literature. We illustrate...

We consider the optimal control problem of certain batch service queueing systems with compound Poisson arrivals and linear holding costs. The control problem involves the determination of the epochs at which the service is initiated as well as the sizes of the batches served. The service times...

We consider the optimal control problem of an M X /G(Q)/1 batch service queueing system with Q∞. So, we assume that customers arrive according to a compound Poisson process and are served in batches not greater than the finite service capacity Q. The control problem involves the determination...

The control problem of controlling ruin probabilities by investments in a financial market is studied. The insurance business is described by the usual Cramer-Lundberg-type model and the risk driver of the financial market is a compound Poisson process. Conditions for investments to be...

The advertising activity has an important role in the introduction of a new product. We tackle the problem of determining the advertising plan for preparing the product introduction, having the objectives of maximizing the product image at the launch time, minimizing the campaign length and...

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...