Search Results - subject:"DYNAMIC PROGRAMMING"

Single- and Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions

Saglam, Ümit - 2019

Portfolio optimization literature has come quite far in the decades since the first publication, and many modern models are formulated using second-order cone constraints and take discrete decisions into consideration. In this study, we consider both single-period and multi-period portfolio...

Persistent link: https://www.econbiz.de/10012903029

Optimality of Naive Investment Strategies in Dynamic Mean-Variance Optimization Problems with Multiple Priors

Shigeta, Yuki - 2019

We study dynamic mean-variance optimization problems with multiple priors. We introduce two types of multiple priors, the priors for expected returns and the priors for covariances. Our framework suggests that the global minimum-variance portfolio is optimal when the investor strongly doubts the...

Persistent link: https://www.econbiz.de/10012903160

Multi-product Dynamic Pricing with Limited Inventories under Cascade Click Model

Najafi, Sajjad - 2019

We consider a multi-product dynamic pricing problem with limited inventories under the so-called Cascade Click model, which is one of the most popular click models used in practice for analyzing customers' click-and-search behavior in large-scale web analytic applications. We present three...

Persistent link: https://www.econbiz.de/10012889528

Dynamic Ic and Dynamic Programming

Kwon, Suehyun - 2019

This paper develops a dynamic programming method when the one-stage deviation principle in the sense of mechanism … design literature doesn’t hold. The commonly used dynamic programming method is valid only if the one-stage deviation … path and is impractical. The dynamic programming method developed in this paper requires transfinite induction, and …

Persistent link: https://www.econbiz.de/10012889686

Time Series Forecasting With a Learning Algorithm : An Approximate Dynamic Programming Approach

Collado, Ricardo - 2019

decision process. By recursively applying this idea over a range of future time periods, look-ahead dynamic programming methods …

Persistent link: https://www.econbiz.de/10012894079

Strategic time slot management : a priori routing for online grocery retailing

Visser, Thomas R.; Savelsbergh, Martin W. P. - 2019

Persistent link: https://www.econbiz.de/10011986935

Growth and collapse of empires : a dynamic optimization model

Yegorov, Yuri; Grass, Dieter; Mirescu, Magda; … - 2019

This paper addresses the spatial evolution of countries accounting for economics, geography and (military) force. Economic activity is spatially distributed following the AK model with the output being split into consumption, investment, transport costs and military (for defense and expansion)....

Persistent link: https://www.econbiz.de/10011989206

Solving dynamic discrete choice models using smoothing and sieve methods

Kristensen, Dennis; Mogensen, Patrick Kofod; Moon, Jong Myun - 2019

We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or expected value function in a general class of dynamic discrete choice (DDC) models. We use importance sampling to approximate the Bellman operators defining the two functions. The random...

Persistent link: https://www.econbiz.de/10011992068

Optimal electricity cost minimization of a grid-interactive pumped hydro storage using ground water in a dynamic electricity pricing environment

Kusakana, Kanzumba - In: Energy reports 5 (2019), pp. 159-169

The electricity price arbitrage from the utility grid can be a major source of revenue for energy storage systems. In most countries, the electricity price is tightly regulated by their government statutory authority or energy regulator to which obey the different power utility and distribution...

Persistent link: https://www.econbiz.de/10012004674

A hardware approach to value function iteration

Peri, Alessandro - 2019

Persistent link: https://www.econbiz.de/10012041953