In this monograph, we provide an overview of the information relaxation approach for
calculating performance bounds in stochastic dynamic programs (DPs). The technique …

Problem definition: Inpatient beds are usually grouped into several wards, and each ward is
assigned to serve patients from certain “primary” specialties. However, when a patient waits …

Many resource management problems require sequential decision-making under
uncertainty, where the only uncertainty affecting the decision outcomes are exogenous …

We consider dynamic selection problems, where a decision maker repeatedly selects a set
of items from a larger collection of available items. A classic example is the dynamic …

The fundamental problems of pricing high-dimensional path-dependent options and optimal
stopping are central to applied probability and financial engineering. Modern approaches …

We study the problem of managing queues in online food-ordering services where
customers, who place orders online and pick up at the store, are offered a common quote …

We study a stochastic perishable inventory control problem with endogenous (decision-
dependent) uncertainty in shelf-life of units. Our primary motivation is determining ordering …

Approximate linear programs (ALPs) are well-known models for computing value function
approximations (VFAs) of intractable Markov decision processes (MDPs). VFAs from ALPs …

In the analysis of complex stochastic dynamic programs, we often seek strong theoretical
guarantees on the suboptimality of heuristic policies. One technique for obtaining …

Several corporations have committed to procuring a percentage of their electricity demand
from renewable sources by a future date. Long-term financial contracts with renewable …