1 citations · 1 across the 6 of their papers we have counts for
7 papers
Volterra-Skorokhod Reflection and Fluid Limits of Loss Queues
Mingrui Wang, Prakash Chakraborty
In the loss queue, a customer blocked at time remains missing from the system for as long as it would have been served. A fraction of the blocking at t…
Quickest Detection with Rough Path Signatures
Mingrui Wang, Prakash Chakraborty
We develop a framework for quickest detection of distributional change in signals modeled as rough paths. By representing the pre-change and post-change dynamics as two independent…
Complexity Guarantees for Zeroth-order Methods via Exponentially-shifted Gaussian Smoothing: Mitigating Dimension-dependence and Incorporating Decision-dependence
Mingrui Wang, Prakash Chakraborty, Uday V. Shanbhag
In this paper, we consider two distinct challenges in the resolution of nonsmooth stochastic optimization. Of these, the first pertains to the pronounced dependence of dimension in…
Emergency Department Patient Flow Optimization with an Alternative Care Threshold Policy
Sahba Baniasadi, Paul M. Griffin, Prakash Chakraborty
Emergency department (ED) overcrowding and patient boarding represent critical systemic challenges that compromise care quality. We propose a threshold-based admission policy that…
Fluid Limits for Time-Varying Many-Server Loss Systems via Discontinuous Volterra Equations
Mingrui Wang, Prakash Chakraborty
This paper develops fluid limits for nonstationary many-server loss systems with general service-time distributions. For the zero-buffer queueing model, we prove a func…
-Player Stochastic Differential Games with Regime Switching and Mean Field Convergence
Mingrui Wang, Prakash Chakraborty
In this study, we investigate -player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the…
Optimal Entry and Exit with Signature in Statistical Arbitrage
Boming Ning, Prakash Chakraborty, Kiseop Lee
In this paper, we explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping framework is formulat…