Search Results - subject:"Dynamic Programming"

Valuing the Treasury's Capital Assistance Program

Glasserman, Paul; Wang, Zhenyu - In: Management Science 57 (2011) 7, pp. 1195-1211

The Capital Assistance Program (CAP) was created by the U.S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing...

Persistent link: https://www.econbiz.de/10009204099

Asymptotics of the probability of minimizing 'down-side' risk under partial information

Nagai, Hideo - In: Quantitative Finance 11 (2011) 5, pp. 789-803

We consider minimizing the probability of falling below a target growth rate of the wealth process up to a time horizon T in an incomplete market model under partial information and then study the asymptotic behavior of the minimizing probability as T → ∞. This problem is closely related to...

Persistent link: https://www.econbiz.de/10009208376

Strategic Capacity Rationing when Customers Learn

Liu, Qian; Ryzin, Garrett van - In: Manufacturing & Service Operations Management 13 (2011) 1, pp. 89-107

Consider a firm that sells products over repeated seasons, each of which includes a full-price period and a markdown period. The firm may deliberately understock products in the markdown period to induce high-value customers to purchase early at full price. Customers cannot perfectly anticipate...

Persistent link: https://www.econbiz.de/10009218549

An Improved Dynamic Programming Decomposition Approach for Network Revenue Management

Zhang, Dan - In: Manufacturing & Service Operations Management 13 (2011) 1, pp. 35-52

We consider a nonlinear nonseparable functional approximation to the value function of a dynamic programming … formulation for the network revenue management (RM) problem with customer choice. We propose a simultaneous dynamic programming … be viewed as a variant of the classical dynamic programming decomposition widely used in the research and practice of …

Persistent link: https://www.econbiz.de/10009218861

Equivalence of Piecewise-Linear Approximation and Lagrangian Relaxation for Network Revenue Management

Kunnumkal, Sumit; Talluri, Kalyan - Barcelona Graduate School of Economics (Barcelona GSE) - 2011

approximate dynamic programming methods that approximate the value function by basis functions (both affine functions as well as …

Persistent link: https://www.econbiz.de/10010547475

Estimating a Dynamic Model of Sex Selection in China

Ebenstein, Avraham - In: Demography 48 (2011) 2, pp. 783-811

Persistent link: https://www.econbiz.de/10010557209

Optimizing competitive uses of water for irrigation and fisheries

Tran, Lap Doc; Schilizzi, Steven; Chalak, Morteza; … - In: Agricultural Water Management 101 (2011) 1, pp. 42-51

study examines this problem for reservoir managers where water use involves irrigation and fisheries. A stochastic dynamic … programming (SDP) model is developed to facilitate reservoir management, using a case study illustration for southern Vietnam. The …

Persistent link: https://www.econbiz.de/10010572967

A dynamic model of price discrimination and inventory management at the Fulton Fish Market

Graddy, Kathryn; Hall, George - In: Journal of Economic Behavior & Organization 80 (2011) 1, pp. 6-19

We estimate a dynamic profit-maximization model of a fish wholesaler who can observe consumer characteristics, set individual prices, and thus engage in third-degree price discrimination. Simulated prices and quantities from the model exhibit the key features observed in a set of high quality...

Persistent link: https://www.econbiz.de/10010573039

Multitime dynamic programming for multiple integral actions

Udrişte, Constantin; Ţevy, Ionel - In: Journal of Global Optimization 51 (2011) 2, pp. 345-360

Persistent link: https://www.econbiz.de/10009324656

Optimal acquisition strategy for China's strategic petroleum reserve: a cost estimation study through dynamic programming

Zhang, Xiao-Bing; Fan, Ying - In: International Journal of Global Energy Issues 35 (2011) 1, pp. 24-42

the dynamic programming (DP) method to determine an optimal acquisition strategy and to evaluate the total cost for …

Persistent link: https://www.econbiz.de/10009360032