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Optimal management of durable pollution

JOURNAL OF ECONOMIC dynamicS & CONTROL 2005年第6期29卷 1121-1164页

作者： Shah, SA Univ Delhi Delhi Sch Econ Dept Econ Delhi 110007 India

We study an incompletely informed regulator's problem of inducing a firm producing durable pollution to manage its pollution optimally. We show the existence of an optimal regulatory contract. Our principal qualitative result is that the optimal contract in this setting induces an inefficiently large amount of emission, relative to the outcome under Pigovian regulation or full information. Our sparse, yet flexible, model of the firm can be applied directly in concrete settings as it is stated in terms of statistical parameters. Moreover, it generates useful information about the firm that has to be assumed in an abstract regulatory model. (c) 2004 Elsevier B.V. All rights reserved.

关键词： optimal regulation incomplete information durable pollution singular stochastic control stochastic dynamic programming

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A SELECTIVE IMPROVEMENT TECHNIQUE FOR FASTENING NEURO-dynamic programming IN WATER RESOURCE NETWORK MANAGEMENT

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IFAC Proceedings Volumes 2005年第1期38卷 7-12页

作者： A. Castelletti D. de Rigo A.E. Rizzoli R. Soncini-Sessa E. Weber Dipartimento di Elettronica e Informazione Politecnico di Milano Italy IDSIA Manno Switzerland

An approach to the integrated water resources management based on Neuro-dynamic programming (NDP) with an improved technique for fastening its Artificial Neural Network (ANN) training phase will be presented. When dealing with networks of water resources, stochastic dynamic programming provides an effective solution methodology but suffers from the so-called “curse of dimensionality”, that rapidly leads to the problem intractability. NDP can sensibly mitigate this drawback by approximating the solution with ANNs. However in the real world applications NDP shows to be considerably slowed just by this ANN training phase. To overcome this limit a new training architecture (SIEVE: Selective Improvement by Evolutionary Variance Extinction) has been developed. In this paper this new approach is theoretically introduced and some preliminary results obtained on a real world case study are presented.

关键词： Integrated Water Resources Management stochastic dynamic programming Neuro-dynamic programming Evolutionary algorithm

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APPROXIMATE dynamic programming STRATEGY FOR DUAL ADAPTIVE CONTROL

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IFAC Proceedings Volumes 2005年第1期38卷 459-464页

作者： Jong Min Lee Jay H. Lee School of Chemical and Biomolecular Engineering Georgia Institute of Technology Atlanta GA 30332 USA

An approximate dynamic programming (ADP) strategy for a dual adaptive control problem is presented. An optimal control policy of a dual adaptive control problem can be derived by solving a stochastic dynamic programming problem, which is computationally intractable using conventional solution methods that involve sampling of a complete hyperstate space. To solve the problem in a computationally amenable manner, we perform closed-loop simulations with different control policies to generate a data set that defines a subset of a hyperstate within which the Bellman equation is iterated. A local approximator with a penalty function is designed for estimation of cost-to-go values over the continuous hyperstate space. An integrating process with an unknown gain is used for illustration.

关键词： approximate dynamic programming dual control adaptive control stochastic dynamic programming

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Supply contracts, profit sharing, switching, and reaction options

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MANAGEMENT SCIENCE 2004年第1期50卷 64-82页

作者： Kamrad, B Siddique, A Georgetown Univ McDonough Sch Business Washington DC 20057 USA Off Comptroller Currency Risk Anal Div Washington DC 20219 USA

A common theme in the studies of flexible supply contracts has been the producer's profit-maximization problem without regard to the suppliers' reactions. However, suppliers do react and protect their downside against producer's operating policies by revising their strategies in a manner consistent with their profit-maximization objectives. This fact motivates our work. Using a real-options (contingent claims) approach, we analyze and value supply contracts in a setting characterized by exchange rate uncertainty, supplier-switching options, order-quantity flexibility, profit sharing, and supplier reaction options. We also use basic diversification concepts, from portfolio theory, to analyze risk reduction in a unique framework. Given this setup, we explicitly model how flexibility can be mutually beneficial to both the producer and the suppliers. Using this model, we concurrently solve and examine the dual optimization problem for the suppliers and the producer. Our approach also endogenizes the extent and degree of profit sharing through the resulting optimal policies. We also analyze what induces the producer and the suppliers to accept flexibility in their contracts.

关键词： valuation supply contracts real options reaction options stochastic dynamic programming

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The stability of an optimal maintenance strategy for repairable assets

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PROCEEDINGS OF THE INSTITUTION OF MECHANICAL ENGINEERS PART E-JOURNAL OF PROCESS MECHANICAL ENGINEERING 2004年第E2期218卷 77-82页

作者： Archibald, TW Ansell, JI Thomas, LC Univ Edinburgh Dept Business Studies Edinburgh EH8 9JY Midlothian Scotland Univ Southampton Dept Accounting & Management Sci Southampton SO9 5NH Hants England

Equipment in the process industry is often subject to decay and requires maintenance, repair and eventual replacement. The challenge of competition and the accompanying regulatory regime requires that actions be integrated and cost effective. Ansell and colleagues in 2001 explored an approach to the assessment of asset life of maintained equipment in the process industry using a semiparametric approach. Using stochastic dynamic programming techniques an approach to find the optimal strategy was also developed by Ansell and colleagues. The approach was illustrated using data from the water industry. A major aspect in the development of optimal strategy for repair and replacement is the cost of these activities. Often the costs can. only be ascertained roughly in terms of hours expended on the activity. Detailed costings are rarely available. The discount factor will depend on the interest rate in place. Generally a conservatively high level has been taken but with current low rates one needs to explore the sensitivity of solution to the discount factor. Also there is a need to explore the sensitivity of the solution to changes in the costs of the maintenance activities involved. In this paper we explore the stability of the results to changes in the relative costs. It is seen that two costs seem to be more important than the others;hence the accounting effort appears to be best directed towards these costs. One concern that arises from these results is the impact of the maintenance events. In past modelling the impact of maintenance has been assumed to have a fixed effect. This was derived from study of data. It is felt that this assumption may be too simple and so a differing model is explored to examine this issue.

关键词： optimal maintenance strategy non-homogeneous Poisson process proportional hazard model stochastic dynamic programming

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Determining the optimal direct mailing frequency

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EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2004年第1期158卷 173-182页

作者： Piersma, N Jonker, JJ HES Amsterdam Amsterdam Sch Business NL-1000 AG Amsterdam Netherlands Erasmus Univ Inst Econometr NL-3000 DR Rotterdam Netherlands Social & Cultural Planning Off NL-2500 BD The Hague Netherlands

This paper studies the mailing frequency problem that addresses the issue of how often to send a mailing to an individual customer in order to establish a profitable long-term relation rather than targeting profitable groups of customers at every new mailing instance. The mailing frequency is optimized using long-term objectives but restricts the decisions to the number of mailings to send to the individual over consecutive finite planning periods. A stochastic dynamic programming model is formulated for this problem that can easily be applied to various direct marketing frameworks such as catalog sales or charity organizations. The model is calibrated for a large Dutch non-profit organization and shows that substantial improvements can be achieved by approaching the mailing strategy with the mailing frequency problem, both in the number of mailings to send and in the profits resulting from the responses. (C) 2003 Elsevier B.V. All rights reserved.

关键词： direct marketing stochastic dynamic programming

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A sequential dynamic pricing model and its applications

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NAVAL RESEARCH LOGISTICS 2004年第4期51卷 501-521页

作者： Lin, KY Virginia Polytech Inst & State Univ Grado Dept Ind & Syst Engn Blacksburg VA 24061 USA

Consider a sequential dynamic pricing model where a seller sells a given stock to a random number of customers. Arriving one at a time, each customer will purchase one item if the product price is lower than her personal reservation price. The seller's objective is to post a potentially different price for each customer in order to maximize the expected total revenue. We formulate the seller's problem as a stochastic dynamic programming model, and develop an algorithm to compute the optimal policy. We then apply the results from this sequential dynamic pricing model to the case where customers arrive according to a continuous-time point process. In particular, we derive tight bounds for the optimal expected revenue, and develop an asymptotically optimal heuristic policy. (C) 2004 Wiley Periodicals, Inc.

关键词： dynamic pricing inventory control stochastic dynamic programming asymptotically optimal policy

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Trajectory planning for autonomous aerospace vehicles amid known obstacles and conflicts

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JOURNAL OF GUIDANCE CONTROL AND dynamicS 2004年第6期27卷 997-1008页

作者： Yang, HI Zhao, YJ Univ Minnesota Minneapolis MN 55455 USA

A discrete search strategy is presented for potential real-time generations of four-dimensional trajectories for a single autonomous aerospace vehicle amid known obstacles and conflicts. A model of autonomous operation is first developed. The problem of and requirements on real-time trajectory generations for autonomous aerospace vehicles are discussed. After an overview of various potential solution frameworks, a discrete search strategy is developed. In this strategy, a four-dimensional search space is defined and discretized. Potential obstacles and conflicts are represented by several basic geometric shapes and their combinations. Mathematical conditions are developed for a trajectory segment to be outside of an obstacle or conflict. Then, the A* search technique is used to obtain trajectory solutions, in which successor points are selected that avoid obstacles and conflicts and that satisfy dynamic motion constraints of the vehicle. A linear combination of flight distance and flight time is optimized in the trajectory generation process. A heuristic function that approximates this performance index is developed for the A* search procedure. Examples are provided that illustrate the application of the proposed method.

关键词： Autonomous Aerospace Vehicle Search Algorithm Real Time Trajectory Planning Flight Trajectory stochastic dynamic programming Heading Angle Computer Memory Computer Systems Flight Vehicle Helicopters

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Thermopower generation investment in Brazil - economic conditions

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ENERGY POLICY 2004年第1期32卷 91-100页

作者： Moreira, A Rocha, K David, P IPEA Inst Appl Econ Res Brazilian Govt BR-20020010 Rio De Janeiro Brazil FURNAS Centrais Elect Power Utili R Real Grandeza BR-22283900 Rio De Janeiro Brazil

One of the main questions in electricity market deregulation is the aptitude of private capital for investments in power generation. This is especially important in Brazil, whose load has a strong growth trend (approximate to 6% per year). Thermopower is an attractive alternative for expanding generation, as it is complementary in many aspects to hydropower, which supplies most Brazil's power at a very low price most of the time, but makes the system vulnerable to seasonal water variations. This paper studies the competitiveness of thermopower generation in Brazil under current regulations;assesses under the real options theory approach the conditions for investments in thermopower generation, and finally presents and discusses a hydropower generation schedule model. (C) 2002 Elsevier Ltd. All rights reserved.

关键词： stochastic dynamic programming real options theory investments in power generation

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The efficacy of controlling phosphorus loading: the case of management-intensive grazing

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AGRICULTURAL SYSTEMS 2004年第3期79卷 283-303页

作者： Winsten, JR Stokes, JR Winrock Int Livestock Res & Training Ctr State Coll PA 16803 USA Penn State Univ University Pk PA 16802 USA

Consolidation in US agriculture has led to fewer, larger farms. In the case of dairy in the Northeastern US, higher concentrations of animals near large population centers pose water quality problems that can be attributed to excessive soil nutrient levels. While new environmental policies and regulations are being developed and implemented to help manage such problems, research to determine the efficacy of alternative dairy production systems is needed. The research reported in this paper makes use of stochastic dynamic programming to determine optimal stocking densities, milk production levels, and feed rations for a hypothetical dairy farm using management-intensive grazing. A key feature of the model is that financial disincentives are placed on excessive accumulation of phosphorus in the farm's soils. The results show that under optimal management the cost of reducing soil phosphorus to acceptable levels across all states of nature modeled is approximately $524 per hectare per year. The optimal farm management strategy is to rapidly reduce the size of the dairy herd (as opposed to feeding for a lower level of milk production per cow) until soil phosphorus levels are under control. (C) 2003 Elsevier Ltd. All rights reserved.

关键词： management-intensive grazing nutrient management phosphorus stochastic dynamic programming dairy farming

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