Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

This is a preview. Log in through your library . Abstract A method is proposed for finding a closed form expression for the cumulative distribution function (CDF) of the maximum value of the objective ...

This is a preview. Log in through your library . Abstract The linear programming formulation with random variation in the coefficient matrix is considered. A new model is proposed in which the random ...

Stochastic Model Predictive Control (SMPC) for linear systems is an advanced control framework that blends systematic optimisation with probabilistic forecasting. By explicitly accounting for ...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...