2008/01/24 by Carri W. Chan, Vivek F. Farias, Chan, Carri W. +1 · 2 citations
Business, Management and Accounting · Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #Advanced Queuing Theory Analysis #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Search Problems
paper · pdf · doi:10.48550/arxiv.0801.3695
openalex publication_date 2008/01/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper presents a general class of dynamic stochastic optimization problems we refer to as Stochastic Depletion Problems. A number of challenging dynamic optimization problems of practical interest are stochastic depletion problems. Optimal solutions for such problems are difficult to obtain, both from a pragmatic computational perspective as also from a theoretical perspective. As such, simple heuristics are highly desirable. We isolate two simple properties that, if satisfied by a problem within this class, guarantee that a myopic policy incurs a performance loss of at most 50 % relative to the optimal adaptive control policy for that problem. We are able to verify that these two properties are satisfied for several interesting families of stochastic depletion problems and as a consequence identify efficient near-optimal control policies for a number of interesting dynamic stochastic optimization problems.