Singular Control of (Reflected) Brownian Motion: A Computational Method Suitable for Queueing Applications

1 code implementation • 19 Dec 2023 • Baris Ata, J. Michael Harrison, Nian Si

Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant.

Drift Control of High-Dimensional RBM: A Computational Method Based on Neural Networks

1 code implementation • 20 Sep 2023 • Baris Ata, J. Michael Harrison, Nian Si

Motivated by applications in queueing theory, we consider a stochastic control problem whose state space is the $d$-dimensional positive orthant.

Advertising Media and Target Audience Optimization via High-dimensional Bandits

no code implementations • 17 Sep 2022 • Wenjia Ba, J. Michael Harrison, Harikesh S. Nair

We present a data-driven algorithm that advertisers can use to automate their digital ad-campaigns at online publishers.

regression Vocal Bursts Intensity Prediction