Fluid Policies, Reoptimization, and Performance Guarantees in Dynamic Resource Allocation

Published Online:https://doi.org/10.1287/opre.2022.0601

References

  • Adelman D, Mersereau AJ (2008) Relaxations of weakly coupled stochastic dynamic programs. Oper. Res. 56(3):712–727.LinkGoogle Scholar
  • Balseiro S, Besbes O, Pizarro D (2021) Survey of dynamic resource-constrained reward collection problems: Unified model and analysis. Oper. Res., ePub ahead of print May 9, https://doi.org/10.1287/opre.2023.2441.Google Scholar
  • Balseiro SR, Brown DB, Chen C (2020) Dynamic pricing of relocating resources in large networks. Management Sci. 67(7):4075–4094.LinkGoogle Scholar
  • Bertsimas D, Mersereau AJ (2007) A learning approach for interactive marketing to a customer segment. Oper. Res. 55(6):1120–1135.LinkGoogle Scholar
  • Bertsimas D, Mišíc VV (2016) Decomposable Markov decision processes: A fluid optimization approach. Oper. Res. 64(6):1537–1555.LinkGoogle Scholar
  • Brown DB, Smith JE (2020) Index policies and performance bounds for dynamic selection problems. Management Sci. 66(7):3029–3050.LinkGoogle Scholar
  • Brown DB, Zhang J (2022) Dynamic programs with shared resources and signals: Dynamic fluid policies and asymptotic optimality. Oper. Res. 70(5):3015–3033.LinkGoogle Scholar
  • Bumpensanti P, Wang H (2020) A re-solving heuristic with uniformly bounded loss for network revenue management. Management Sci. 66(7):2993–3009.LinkGoogle Scholar
  • Caro F, Gallien J (2007) Dynamic assortment with demand learning for seasonal consumer goods. Management Sci. 53(2):276–292.LinkGoogle Scholar
  • D’Aeth J, Ghosal S, Grimm F, Haw D, Koca E, Lau K, Liu H, et al. (2022) Optimal hospital care scheduling during the sars-cov-2 pandemic. Management Sci. 69(10):5923–5947.Google Scholar
  • Gast N, Gaujal B, Yan C (2022a) LP-based policies for restless bandits: Necessary and sufficient conditions for (exponentially fast) asymptotic optimality. Preprint, submitted September 14, https://arxiv.org/abs/2106.10067.Google Scholar
  • Gast N, Gaujal B, Yan C (2022b) The LP-update policy for weakly coupled Markov decision processes. Preprint, submitted November 3, https://arxiv.org/abs/2211.01961.Google Scholar
  • Hawkins JT (2003) A Langrangian decomposition approach to weakly coupled dynamic optimization problems and its applications. PhD thesis, Massachusetts Institute of Technology, Cambridge, MA.Google Scholar
  • Hong Y, Xie Q, Chen Y, Wang W (2023) Restless bandits with average reward: Breaking the uniform global attractor assumption. Preprint, submitted May 31, https://arxiv.org/abs/2306.00196.Google Scholar
  • Hu W, Frazier P (2017) An asymptotically optimal index policy for finite-horizon restless bandits. Preprint, submitted July 1, https://arxiv.org/abs/1707.00205.Google Scholar
  • Jasin S, Kumar S (2012) A re-solving heuristic with bounded revenue loss for network revenue management with customer choice. Math. Oper. Res. 37(2):313–345.LinkGoogle Scholar
  • Miao S, Jasin S, Chao X (2022) Asymptotically optimal lagrangian policies for multi-warehouse, multi-store systems with lost sales. Oper. Res. 70(1):141–159.LinkGoogle Scholar
  • Puterman ML (1994) Markov Decision Processes: Discrete Stochastic Dynamic Programming, 1st ed. (John Wiley & Sons, Hoboken, NJ).CrossrefGoogle Scholar
  • Topaloglu H (2009) Using lagrangian relaxation to compute capacity-dependent bid prices in network revenue management. Oper. Res. 57(3):637–649.LinkGoogle Scholar
  • Weber RR, Weiss G (1990) On an index policy for restless bandits. J. Appl. Probability 27(3):637–648.CrossrefGoogle Scholar
  • Whittle P (1988) Restless bandits: Activity allocation in a changing world. J. Appl. Probability 25:287–298.CrossrefGoogle Scholar
  • Zayas-Caban G, Jasin S, Wang G (2019) An asymptotically optimal heuristic for general nonstationary finite-horizon restless multi-armed, multi-action bandits. Adv. Appl. Probability 51(3):745–772.CrossrefGoogle Scholar
  • Zhang X (2022) Near-optimality for multi-action multi-resource restless bandits with many arms. PhD thesis, Cornell University NY, USA.Google Scholar
  • Zhang X, Frazier PI (2021) Restless bandits with many arms: Beating the central limit theorem. Preprint, submitted July 25, https://arxiv.org/abs/2107.11911.Google Scholar
  • Zhang X, Frazier PI (2022) Near-optimality for infinite-horizon restless bandits with many arms. Preprint, submitted March 29, https://arxiv.org/abs/2203.15853.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.