Search Results - subject:"Dynamic programming"

Kemptner, Daniel - In: Journal of Health Economics 65 (2019), pp. 227-245

Based on a dynamic life cycle model, this study analyzes health-related risks of consumption and old-age poverty. The model allows for health effects on employment risks, on productivity, on longevity, the correlation between health risks, productivity and preferences, and the financial...

Persistent link: https://www.econbiz.de/10012587858

Output maximization container loading problem with time availability constraints

Castellucci, Pedro B.; de Toledo, Franklina Maria Bragion; … - In: Operations Research Perspectives 6 (2019), pp. 1-7

Research on container loading problems has helped increase the occupation rate of containers in different practical situations. We consider these problems within a context which might pressure the loading process, leading to sub-optimal solutions. Some facilities like cross-docks have reduced...

Persistent link: https://www.econbiz.de/10012662792

Optimal Control of a Class of Systems with Continuous Lags : Dynamic Programming Approach and Economic Interpretations

Hartl, R. F.; Sethi, Suresh - 2019

integrodifferential equations, using dynamic programming. As a result, the adjoint variables can be provided with useful economic …

Persistent link: https://www.econbiz.de/10014046450

Hierarchical Capacity Expansion and Production Planning Decisions in Stochastic Manufacturing Systems

Sethi, Suresh; Taksar, Michael I.; Zhang, Qing - 2019

We present an approach of hierarchical decision making in production planning and capacity expansion problems under uncertainty. We show that under reasonable assumptions, the strategic level management can base the capacity decision on aggregated information from the shopfloor, and the...

Persistent link: https://www.econbiz.de/10014220232

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