Search Results - subject:"OPTIMAL CONTROL"

Necessary and Sufficient Conditions for Optimal Control Problems with Linear State, Semicontinuous Lagrangians

Martimort, David; Stole, Lars - 2015

We present a set of necessary and sufficient conditions for a class of optimal control problems with pure state …

Persistent link: https://www.econbiz.de/10014148619

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

Luo, Xiaolin - 2015

In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behavior solved as an optimal stochastic control problem. This product simultaneously deals with...

Persistent link: https://www.econbiz.de/10013031777

Experimentation in Two-Sided Markets

Peitz, Martin - 2015

We study optimal experimentation by a monopolistic platform in a two-sided market. The platform provider is uncertain about the strength of the externality each side is exerting on the other. Setting participation fees on both sides, it gradually learns about these externalities by observing...

Persistent link: https://www.econbiz.de/10013022496

Norwegian Rhapsody? The Political Economy Benefits of Regional Integration

Campos, Nauro - 2015

This paper investigates whether joint economic and political integration leads to larger economic benefits than just economic integration. The identification strategy rests on the fact that Norway, at the time of the 1995 Enlargement of the European Union (EU), had successfully completed...

Persistent link: https://www.econbiz.de/10013016399

Efficient upper and lower bounds for global mixed-integer optimal control

Sager, Sebastian; Claeys, Mathieu; Messine, Frédéric - In: Journal of Global Optimization 61 (2015) 4, pp. 721-743

-integer optimal control problem (MIOCP) with a discrete feasible set for the controls taking into account the electrical and … the calculated chattering behavior. We stress that these bounds hold for the optimal control problem in function space …. This approach is generic and is an alternative to global optimal control based on probabilistic or branch-and-bound based …

Persistent link: https://www.econbiz.de/10011240897

Endogenous control of service rates in stochastic and dynamic queuing models of airport congestion

Jacquillat, Alexandre; Odoni, Amedeo R. - In: Transportation research / E : an international journal 73 (2015), pp. 133-151

Persistent link: https://www.econbiz.de/10010484870

Solving average cost Markov decision processes by means of a two-phase time aggregation algorithm

Arruda, E. F.; Fragoso, M. D. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 697-705

Persistent link: https://www.econbiz.de/10010486967

On the single-leg airline revenue management problem in continuous time

Arslan, A. Muzaffer; Frenk, Johannes G.; Sezer, Semih O. - In: Mathematical methods of operations research 81 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010488935

Optimal technology adoption when the arrival rate of new technologies changes

Hagspiel, Verena; Huisman, Kuno J. M.; Nunes, Clàudia - In: European journal of operational research : EJOR 243 (2015) 3, pp. 897-911

Persistent link: https://www.econbiz.de/10010513825

Operational Research in education

Johnes, Jill - In: European journal of operational research : EJOR 243 (2015) 3, pp. 683-696

Persistent link: https://www.econbiz.de/10010513941