29 citations · 84 across the 10 of their papers we have counts for
11 papers
Optimal Two-Mode Switching with Setup Costs for a Controlled Ornstein--Uhlenbeck Process
Hongkun Xia, Dacheng Yao
We study an infinite-horizon discounted optimal switching problem for an Ornstein--Uhlenbeck process whose mean-reversion level can be switched between two values. Switching incurs…
A Non-convex Optimization Approach of Searching Algebraic Degree Phase-type Representations for General Phase-type Distributions
Yujie Liu, Dacheng Yao, Hanqin Zhang
For a continuous-time phase-type distribution, starting with its Laplace-Stieltjes transform, we obtain a necessary and sufficient condition for its minimal phase-type representati…
On Substochastic Inverse Eigenvalue Problems with the Corresponding Eigenvector Constraints
Yujie Liu, Dacheng Yao, Hanqin Zhang
We consider the inverse eigenvalue problem of constructing a substochastic matrix from the given spectrum parameters with the corresponding eigenvector constraints. This substochas…
Ergodic inventory control with diffusion demand and general ordering costs
Bo Wei, Dacheng Yao
In this work, we consider a continuous-time inventory system where the demand process follows an inventory-dependent diffusion process. The ordering cost of each order depends on t…
Impulse Control with Discontinuous Setup Costs: Discounted Cost Criterion
Fen Xu, Dacheng Yao, Hanqin Zhang
This paper studies a continuous-review backlogged inventory model considered by Helmes et al. (2015) but with discontinuous quantity-dependent setup cost for each order. In particu…
Optimal Drift Rate Control and Impulse Control for a Stochastic Inventory/Production System
Ping Cao, Dacheng Yao
In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must b…
Optimal Control of a Levy Inventory System: The Optimality of Control Band Policy
Jinbiao Wu, Haolin Feng, Dacheng Yao
We consider an inventory system whose state is modeled by a Lévy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also k…
Joint pricing and inventory control for a stochastic inventory system with Brownian motion demand
Dacheng Yao
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian…
Optimal Ordering Policy for Inventory Systems with Quantity-Dependent Setup Costs
Shuangchi He, Dacheng Yao, Hanqin Zhang
We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian m…
Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case
Jim Dai, Dacheng Yao
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a…
Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
Jim Dai, Dacheng Yao
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a…