This paper creates a mathematical model in which the banks are faced with two optimization problems. The first optimization problem is how to optimize their behavior in order to maximize profits. The second optimization is how to optimize the structure of liabilities in order to have minimum...

Dynamic modeling is general and recently the most interesting perspective to solve a dynamic economic problem based on Pontryagin’s maximum principle. Moreover, according to traditional economic theory, up to the middle of twentieth century, production functions are built without taking into...

This paper investigates an optimal sequencing and dynamic pricing prob- lem for a two-class queueing system. Using a Markov Decision Process based model, we obtain structural characterizations of optimal policies. In particular, it is shown that the optimal pricing policy depends on the entire...

We present a novel approach to address sampling error when discretely approximating a dynamic stochastic programme with a limited finite number of scenarios to represent the underlying path probability distribution. This represents a tentative solution to the problems first identified in our...

In solving a scenario-based dynamic (multistage) stochastic programme, scenario generation plays a critical role as it forms the input specification to the optimization process. Computational bottlenecks in this process place a limit on the number of scenarios employable in approximating the...

Energy generation from intermittent renewable sources introduces additional variability into electrical systems, resulting in a higher cost of balancing against the increased variabilities. Ways to balance demand and supply for electricity include using flexible generation resources, storage...