Search Results - subject:"Optimal Control"

Sensitivity analysis for discrete optimal control problems

Marinković, Boban - In: Computational Statistics 63 (2006) 3, pp. 513-524

We present local sensitivity analysis for discrete optimal control problems with varying endpoints in the case when the …

Persistent link: https://www.econbiz.de/10010759592

Robust optimal control of material flows in demand-driven supply networks

Laumanns, Marco; Lefeber, Erjen - In: Physica A: Statistical Mechanics and its Applications 363 (2006) 1, pp. 24-31

equations, where some inputs to the system act as external disturbances. We apply methods from constrained robust optimal … control to compute the explicit control law as a function of the current state. For the numerical examples considered, these …

Persistent link: https://www.econbiz.de/10010872298

Optimal portfolio strategies benchmarking the stock market

Gabih, A.; Grecksch, W.; Richter, M.; Wunderlich, R. - In: Computational Statistics 64 (2006) 2, pp. 211-225

The paper investigates the impact of adding a shortfall risk constraint to the problem of a portfolio manager who wishes to maximize his utility from the portfolios terminal wealth. Since portfolio managers are often evaluated relative to benchmarks which depend on the stock market we capture...

Persistent link: https://www.econbiz.de/10010847746

Optimization of power management in an hybrid electric vehicle using dynamic programming

Pérez, Laura V.; Bossio, Guillermo R.; Moitre, Diego; … - In: Mathematics and Computers in Simulation (MATCOM) 73 (2006) 1, pp. 244-254

Hybrid electric vehicles are those powered from two different sources. Typically, they are equipped with an internal combustion engine, and also with an electrical storage system, such as a bank of batteries or ultra-capacitors. While braking, these vehicles may convert kinetic energy to...

Persistent link: https://www.econbiz.de/10011050428

Optimal portfolio strategies benchmarking the stock market

Gabih, A.; Grecksch, W.; Richter, M.; Wunderlich, R. - In: Mathematical Methods of Operations Research 64 (2006) 2, pp. 211-225

Persistent link: https://www.econbiz.de/10010950159

Sensitivity analysis for discrete optimal control problems

Marinković, Boban - In: Mathematical Methods of Operations Research 63 (2006) 3, pp. 513-524

We present local sensitivity analysis for discrete optimal control problems with varying endpoints in the case when the …

Persistent link: https://www.econbiz.de/10011000002

A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS

HENDERSON, VICKY; HOBSON, DAVID - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 997-1007

A canonical problem in real option pricing, as described in the classic text of Dixit and Pindyck [2], is to determine the optimal time to invest at a fixed cost, to receive in return a stochastic cashflow. In this paper we are interested in this problem in an incomplete market where the...

Persistent link: https://www.econbiz.de/10005060224

Privatization of Water-Resource Development

Holland, Stephen - In: Environmental & Resource Economics 34 (2006) 2, pp. 291-315

This paper analyzes the inefficiencies from market power and return-flow externalities in private construction of a water project. The model pays special attention to increasing groundwater pumping costs, project set-up costs, limited project capacity, and return flow to the aquifer. For a given...

Persistent link: https://www.econbiz.de/10005681035

On the Dynamics of Recycling and Natural Resources

André, Francisco; Cerdá, Emilio - In: Environmental & Resource Economics 33 (2006) 2, pp. 199-221

We study the dynamic impact of recycling through its effect on the production set of the economy and its relationship with natural resources. The contribution of renewable and recyclable resources for sustainability is studied. Although in the short run recycling may alleviate resource scarcity,...

Persistent link: https://www.econbiz.de/10005684359

A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing

Düring, Bertram; Jüngel, Ansgar; Volkwein, S. - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006

of the SQP method a linear-quadratic optimal control problem with box constraints is solved by a primal-dual active set …Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal … control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a …

Persistent link: https://www.econbiz.de/10005562285