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检索条件"主题词=Stochastic Dynamic Programming"
807 条 记 录,以下是151-160 订阅
排序:
Pricing American-style derivatives with European call options
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MANAGEMENT SCIENCE 2006年 第1期52卷 95-110页
作者: Laprise, SB Fu, MC Marcus, SI Lim, AEB Zhang, HJ Adv Informat Technol BAE Syst Arlington VA 22203 USA Univ Maryland Robert H Smith Sch Business College Pk MD 20742 USA Univ Maryland Dept Elect & Comp Engn College Pk MD 20742 USA Univ Calif Berkeley Dept Ind Engn & Operat Res Berkeley CA 94720 USA
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available.... 详细信息
来源: 评论
Finite horizon minimax optimal control of nonlinear continuous time systems with stochastic uncertainty
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dynamicS AND CONTROL 2000年 第1期10卷 63-86页
作者: Ugrinovskii, VA Petersen, IR Australian Def Force Acad Sch Elect Engn Canberra ACT 2600 Australia
This paper develops a general continuous-time stochastic framework for robustness analysis and robust control synthesis. We consider a stochastic minimax optimization problem for general stochastic uncertain systems. ... 详细信息
来源: 评论
On the value and price-responsiveness of ramp-constrained storage
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ENERGY CONVERSION AND MANAGEMENT 2013年 76卷 472-482页
作者: Faghih, Ali Roozbehani, Mardavij Dahleh, Munther A. MIT Elect Engn & Comp Sci EECS Dept Cambridge MA 02139 USA MIT Lab Informat & Decis Syst Cambridge MA 02139 USA
The primary concerns of this paper are twofold: understanding the value of storage in the presence of ramp constraints and exogenous energy prices, and understanding the implications of the associated optimal storage ... 详细信息
来源: 评论
MYOPIC POLICIES FOR NON-PREEMPTIVE SCHEDULING OF JOBS WITH DECAYING VALUE
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PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES 2018年 第1期32卷 1-36页
作者: Master, Neal Chan, Carri W. Bambos, Nicholas Stanford Univ Dept Elect Engn Stanford CA 94305 USA Columbia Business Sch Decis Risk & Operat New York NY USA Stanford Univ Dept Management Sci & Engn Stanford CA 94305 USA
In many scheduling applications, minimizing delays is of high importance. One adverse effect of such delays is that the reward for completion of a job may decay over time. Indeed in healthcare settings, delays in acce... 详细信息
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Operation Policies through dynamic programming and Genetic Algorithms, for a Reservoir with Irrigation and Water Supply Uses
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WATER RESOURCES MANAGEMENT 2021年 第5期35卷 1573-1586页
作者: Mendoza Ramirez, Rosalva Arganis Juarez, Maritza Liliana Dominguez Mora, Ramon Padilla Morales, Luis Daniel Fuentes Mariles, Oscar Arturo Mendoza Resendiz, Alejandro Carrizosa Elizondo, Eliseo Carmona Paredes, Rafael Bernardo Univ Nacl Autonoma Mexico Inst Ingn Campus Morelia Morelia 58190 Michoacan Mexico Univ Nacl Autonoma Mexico Inst Ingn Ave Univ 3000 Mexico City 04510 DF Mexico
In this study, operation policies were obtained for a reservoir in Michoacan, Mexico, used for irrigation and domestic water supplies. The main purpose of these policies is to optimize the uses of the water, an increa... 详细信息
来源: 评论
Partial Equilibrium in Risk-Based Production Decisions
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NAVAL RESEARCH LOGISTICS 2012年 第1期59卷 1-17页
作者: Kamrad, Bardia Siddique, Akhtar Ernst, Ricardo Georgetown Univ McDonough Sch Business Washington DC 20057 USA Off Comptroller Currency Enterprise Risk Anal Div Washington DC 20219 USA
Characteristically, a small subset of operational problems admit risk neutrality when contingent claims methodology were used in their analysis. That is, for the majority of manufacturing and production problems, oper... 详细信息
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Reducing passenger waiting time in oversaturated metro lines with passenger flow control policy
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OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE 2023年 117卷
作者: Liang, Jinpeng Zang, Guangzhi Liu, Haitao Zheng, Jianfeng Gao, Ziyou Dalian Maritime Univ Sch Transportat Engn Dalian Peoples R China China Acad Railway Sci Corp Ltd Inst Comp Technol Beijing Peoples R China Sichuan Univ Business Sch Chengdu Peoples R China Beijing Jiaotong Univ Sch Traff & Transportat Beijing Peoples R China
Oversaturation during peak hours brings about severe challenges for metro operations management in megacities. It can deteriorate passengers' service level experience and increase the safety risk at congested plat... 详细信息
来源: 评论
Should environmental constraints be considered in linear programming based water value calculators?
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INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS 2020年 第0期117卷 105662-000页
作者: Guisandez, Ignacio Ignacio Perez-Diaz, Juan Nowak, Wolfgang Haas, Jannik Univ Politecn Madrid Dept Hydraul Energy & Environm Engn E-28040 Madrid Spain Univ Stuttgart Dept Stochast Simulat & Safety Res Hydrosyst IWS D-70569 Stuttgart Germany
We evaluate the practical usefulness of incorporating maximum ramping rates and minimum environmental flows into a linear programming based water value calculator for hydropower plants that participate in the day-ahea... 详细信息
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Fully polynomial time (Sigma, Pi)-approximation schemes for continuous nonlinear newsvendor and continuous stochastic dynamic programs
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MATHEMATICAL programming 2022年 第1-2期195卷 183-242页
作者: Halman, Nir Nannicini, Giacomo Bar Ilan Univ Ramat Gan Israel IBM TJ Watson Res Ctr IBM Quantum Yorktown Hts NY USA
We study the nonlinear newsvendor problem concerning goods of a non-discrete nature, and a class of stochastic dynamic programs with several application areas such as supply chain management and economics. The class i... 详细信息
来源: 评论
Adaptive water infrastructure planning for nonstationary hydrology
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ADVANCES IN WATER RESOURCES 2018年 118卷 83-94页
作者: Hui, Rui Herman, Jonathan Lund, Jay Madani, Kaveh Univ Calif Davis Ctr Watershed Sci Davis CA 95616 USA Univ Calif Davis Dept Civil & Environm Engn Davis CA 95616 USA Imperial Coll London Ctr Environm Policy London SW7 2AZ England Stockholm Univ Dept Phys Geog Stockholm Sweden
The uncertainty of a changing climate raises challenges for water infrastructure planning and design. Not accounting for nonstationarity may result in under-designed structures that fail too frequently, or over-design... 详细信息
来源: 评论