On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects

We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing a classical model of Nerlove and Arrow. In particular, we allow the dynamics of the product goodwill to depend on its past values, as well as previous advertising levels. Building on previous work of two of the authors, the optimal advertising model is formulated as an infinite dimensional stochastic control problem. We obtain (partial) regularity as well as approximation results for the corresponding value function. Under specific structural assumptions we study the effects of delays on the value function and optimal strategy. In the absence of carryover effects, since the value function and the optimal advertising policy can be characterized in terms of the solution of the associated HJB equation, we obtain sharper characterizations of the optimal policy.Comment: numerical example added; minor revision

Four-point functions of all-different-weight chiral primary operators in the supergravity approximation

Recently a Mellin-space formula was conjectured for the form of correlation functions of $1/2$ BPS operators in planar $\mathcal{N}=4$ SYM in the strong 't Hooft coupling limit. In this work we report on the computation of two previously unknown four-point functions of operators with weights $\langle 2345 \rangle$ and $\langle 3456\rangle$, from the effective type-IIB supergravity action using AdS/CFT. These correlators are novel: they are the first correlators with all-different weights and in particular $\langle 3456\rangle$ is the first next-next-next-to-extremal correlator to ever have been computed. We also present simplifications of the known algorithm, without which these computations could not have been executed without considerable computer power. The main simplifications we found are present in the computation of the exchange Lagrangian and in the computation of $a$ tensors. After bringing our results in the appropriate form we successfully corroborate the recently conjectured formula.Comment: 20+23 pages, 3 figures; v2: published versio

Four-point functions of 1/2-BPS operators of any weights in the supergravity approximation

We present the computation of all the correlators of 1/2-BPS operators in $\mathcal{N} = 4$ SYM with weights up to 8 as well as some very high-weight correlation functions from the effective supergravity action. The computation is done by implementing the recently developed simplified algorithm in combination with the harmonic polynomial formalism. We provide a database of these results attached to this publication and additionally check for almost all of the functions in this database that they agree with the conjecture on their Mellin-space form.Comment: 6 pages, database included; v2: database extended, appendix adde

Towards 4-point correlation functions of any 1/2-BPS operators from supergravity

The quartic effective action for Kaluza-Klein modes that arises upon compactification of type IIB supergravity on the five-sphere S^5 is a starting point for computing the four-point correlation functions of arbitrary weight 1/2-BPS operators in N=4 super Yang-Mills theory in the supergravity approximation. The apparent structure of this action is rather involved, in particular it contains quartic terms with four derivatives which cannot be removed by field redefinitions. By exhibiting intricate identities between certain integrals involving spherical harmonics of S^5 we show that the net contribution of these four-derivative terms to the effective action vanishes. Our result is in agreement with and provides further support to the recent conjecture on the Mellin space representation of the four-point correlation function of any 1/2-BPS operators in the supergravity approximation.Comment: 12 page

Optimal Distributed Dynamic Advertising

We propose a novel approach to modeling advertising dynamics for a firm operating over a distributed market domain based on controlled partial differential equations of the diffusion type. Using our model, we consider a general type of finite-horizon profit maximization problem in a monopoly setting. By reformulating this profit maximization problem as an optimal control problem in infinite dimensions, we derive sufficient conditions for the existence of its optimal solutions under general profit functions, as well as state and control constraints, and provide a general characterization of the optimal solutions. Sharper, feedback-form characterizations of the optimal solutions are obtained for two variants of the general problem

Going Bunkers: The Joint Route Selection and Refueling Problem

Managing shipping vessel profitability is a central problem in marine transportation. We consider two commonly used types of vessels—“liners” (ships whose routes are fixed in advance) and “trampers” (ships for which future route components are selected based on available shipping jobs)—and formulate a vessel profit maximization problem as a stochastic dynamic program. For liner vessels, the profit maximization reduces to the problem of minimizing refueling costs over a given route subject to random fuel prices and limited vessel fuel capacity. Under mild assumptions about the stochastic dynamics of fuel prices at different ports, we provide a characterization of the structural properties of the optimal liner refueling policies. For trampers, the vessel profit maximization combines refueling decisions and route selection, which adds a combinatorial aspect to the problem. We characterize the optimal policy in special cases where prices are constant through time and do not differ across ports and prices are constant through time and differ across ports. The structure of the optimal policy in such special cases yields insights on the complexity of the problem and also guides the construction of heuristics for the general problem setting

Optimal Product Launch Times in a Duopoly: Balancing Life-Cycle Revenues With Product Cost

We present a model describing the demand dynamics of two new products competing for a limited target market. The demand trajectories of the two products are driven by a market saturation effect and an imitation effect reflecting the product experience of previous adopters. In this general setting, we provide analytical results for the sales trajectories and life-cycle sales of the competing products. We use these results to study the impact of launch time on overall life-cycle sales. We consider the perspective of one of the competing products and model the trade-off between the lost revenues resulting from a delayed launch and the lower unit-production costs. We find that the profit-maximizing launch time exhibits a counterintuitive behavior. In particular, we show that a firm facing a launch time delay from a competing product might benefit from accelerating its own product launch, as opposed to using the softened competitive situation to further improve its cost position. We identify conditions under which a marginal cost-benefit analysis leads to suboptimal launch-time decisions. Finally, we analyze the Nash equilibrium in launch-time decisions of the two competing products

Robust explicit model predictive control for hybrid linear systems with parameter uncertainties

Explicit model-predictive control (MPC) is a widely used control design method that employs optimization tools to find control policies offline; commonly it is posed as a semi-definite program (SDP) or as a mixed-integer SDP in the case of hybrid systems. However, mixed-integer SDPs are computationally expensive, motivating alternative formulations, such as zonotope-based MPC (zonotopes are a special type of symmetric polytopes). In this paper, we propose a robust explicit MPC method applicable to hybrid systems. More precisely, we extend existing zonotope-based MPC methods to account for multiplicative parametric uncertainty. Additionally, we propose a convex zonotope order reduction method that takes advantage of the iterative structure of the zonotope propagation problem to promote diagonal blocks in the zonotope generators and lower the number of decision variables. Finally, we developed a quasi-time-free policy choice algorithm, allowing the system to start from any point on the trajectory and avoid chattering associated with discrete switching of linear control policies based on the current state's membership in state-space regions. Last but not least, we verify the validity of the proposed methods on two experimental setups, varying physical parameters between experiments