In this paper, we consider numerous inventory control problems for which the base-stock policies are known to be optimal and we propose stochastic approximation methods to compute the optimal base-stock levels. The existing stochastic approximation methods in the literature guarantee that their iterates converge, but not necessarily to the optimal base-stock levels. In contrast, we prove that t...

In this paper, stochastic comparisons for k -out-ofN ( F ) system with random numbers of identical components are studied. The lifetime of k -out-ofN ( F ) system corresponds to the kth order statistic of random numbers of independent identically distributed random variables. Characterizations based on some stochastic orders, for example, star order, hazard rate order and reversed hazard order ...

We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that multidimensional Markovian stochastic factor drives of them. Moreover, model indirect costs as temporary price impact, stipulating power law to relate it agent's turnover rate. first analyse regularized setting, admissible strategies do not ensure c...

We study a repeated newsvendor game with transshipments. In every period n retailers face a stochastic demand for an identical product and independently place their inventory orders before demand realization. After observing the actual demand, each retailer decides how much of her leftover inventory or unsatisfied demand she wants to share with the other retailers. Residual inventories are then...

In this paper, we study short term return reversals in the stock market. In our model, each period new investors arrive to the stock market with stochastic endowments, trade and then exit the market. The market makers retain a continuous presence in the stock market and carry over in time investors’ order imbalances. The price impact from investors’ order imbalances makes prices deviate from fu...

Generating optimal production schedules for manufacturing facilities is an area of great theoretical and practical importance. During the last decade, an effort has been made to reconcile the techniques developed by the AI and OR communities. The work described here aims to continue in this vein by showing how a class of well-defined stochastic scheduling problems can be mapped into a general s...

This paper deals with a parametric multi-period integer-valued inventory model for perishable items. Each item in the stock perishes in a given period of time with some probability. Demands are assumed to be random. and the probability that an item perishes is not known with certainty. Expressions for various parameter estimates of the model are established and the. problem of finding an optima...