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 ...

We develop a modular and tractable framework for solving an adaptive distributionally robust linear optimization problem, where we minimize the worst-case expected cost over an ambiguity set of ...

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 ...

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 ...