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检索条件"主题词=Stochastic Dynamic Programming"
806 条 记 录,以下是631-640 订阅
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Optimal Portfolio Management in a CIR Framework
Optimal Portfolio Management in a CIR Framework
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第三届IEEE无线通讯、网络技术暨移动计算国际会议
作者: Shuping Wan College of Information Technology Jiangxi University of Finance and Economic Nanchang 330013P.R. China
The optimal portfolio problem for a bank account, single risky stock and a rolling horizon bond is developed. The stochastic short-term interest rate with the Cox-Ingersoll-Ross (CIR) dynamics affects the prices of th... 详细信息
来源: 评论
Optimal capacity planning in stochastic loss networks with time-varying workloads  07
Optimal capacity planning in stochastic loss networks with t...
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Proceedings of the 2007 ACM SIGMETRICS international conference on Measurement and modeling of computer systems
作者: Sandeep Bhadra Yingdong Lu Mark S. Squillante University of Texas IBM Thomas J. Watson Research Center
We consider a capacity planning optimization problem in a general theoretical framework that extends the classical Erlang loss modeland related stochastic loss networks to support time-varying workloads. The time hori... 详细信息
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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
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On the existence of stationary optimal policies for partially observed MDPs under the long-run average cost criterion
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SYSTEMS & CONTROL LETTERS 2006年 第2期55卷 165-173页
作者: Hsu, SP Chuang, DM Arapostathis, A Univ Texas Austin TX 78712 USA Natl Chi Nan Univ Puli 545 Nantou Taiwan
This paper studies the problem of the existence of stationary optimal policies for finite state controlled Markov chains, with compact action space and imperfect observations, under the long-run average cost criterion... 详细信息
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A qualitative approach to Markovian equilibrium on optimal growth under uncertainty
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JOURNAL OF dynamicAL AND CONTROL SYSTEMS 2006年 第4期12卷 451-464页
作者: Carpio, L. G. T. Univ Fed Rio de Janeiro COPPE Energy Planning Program BR-21945 Rio De Janeiro Brazil
This paper develops a discretized version of a stochastic model of the economic growth and studies its convergence and stability properties. A nonlinear model of the economic growth, which involves the production, tec... 详细信息
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Flexible supply policy with options and capacity constraints
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OPERATIONS RESEARCH LETTERS 2006年 第5期34卷 508-516页
作者: Xu, Ningxiong Cornell Univ Sch Civil & Environm Engn Ithaca NY 14853 USA
This paper considers a class of multi-period flexible supply policies with options and capacity constraints. The main results are to characterize the optimal ordering and purchasing options policy and the minimum expe... 详细信息
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Spinning plates and squad systems: Policies for bi-directional restless bandits
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ADVANCES IN APPLIED PROBABILITY 2006年 第1期38卷 95-115页
作者: Glazebrook, KD Kirkbride, C Ruiz-Hernandez, D Univ Lancaster Dept Math & Stat Lancaster LA1 4YF England Univ Lancaster Dept Management Sci Lancaster LA1 4YF England Univ Pompeu Fabra Dept Econ & Business E-08005 Barcelona Spain
This paper concerns two families of Markov decision problem that fall within the family of (bi-directional) restless bandits, an intractable class of decision processes introduced by Whittle. The spinning plates probl... 详细信息
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Bridge lane direction specification for sustainable traffic management
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ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH 2006年 第2期23卷 141-154页
作者: Foulds, James R. Foulds, L. R. Univ Waikato Dept Management Syst Hamilton New Zealand Univ Waikato Dept Comp Sci Hamilton New Zealand
We present a deterministic model that specifies lane direction in a multi-laned bridge that has a movable barrier that divides the two directions of traffic flow, in order to reduce congestion. A probabilistic dynamic... 详细信息
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Operational level-based policies in production rate control of unreliable manufacturing systems with set-ups
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INTERNATIONAL JOURNAL OF PRODUCTION RESEARCH 2006年 第3期44卷 545-567页
作者: Gharbi, A Kenné, JP Hajji, A Univ Quebec Ecole Technol Super Automated Prod Engn Dept Prod Syst Design & Control Lab Montreal PQ H3C 1K3 Canada Univ Quebec Ecole Technol Super Dept Mech Engn Montreal PQ H3C 1K3 Canada
This paper deals with the control of the production rates and set-up actions of an unreliable multiple-machine, multiple-product manufacturing system. Each part type can be processed for a specified period on one of t... 详细信息
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A note on the economic management of inventory or resource under stochastic prices
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JOURNAL OF STATISTICAL PLANNING AND INFERENCE 2006年 第3期136卷 1020-1038页
作者: Jia, SW Oregon State Univ Dept Stat Corvallis OR 97331 USA
The Markovian optimal policies are studied for the problem of economic inventory control or resource management in a finite time horizon. Under some conditions, in particular, when the prices are stochastic and there ... 详细信息
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