Search Results - subject:"Stochastic Control"

Career interruptions : a neglected aspect of a neoclassical model

Gahramanov, Emin; Tang, Xueli - 2014

Persistent link: https://www.econbiz.de/10010243415

Impatient in experiments, but patient in simulations : a challenge to a neoclassical model

Gahramanov, Emin; Tang, Xueli - 2014

Persistent link: https://www.econbiz.de/10010348264

Valuation of multiple hyro reservoir storage systems in competitive electricity markets

Felix, Bastian Joachim; Weber, Christoph - 2014

Increasing renewable generation results in growing supply uncertainty. By now hydrostorages are the most efficient way of smoothing uncertain power supply. In liberalized and competitive markets the valuation of hydro storages investment projects needs to take the market information and...

Persistent link: https://www.econbiz.de/10010433265

InfsocSol3 : an updated MATLAB® package for approximating the Solution to a continuous-time infinite horizon stochastic optimal control problem

Krawczyk, Jacek B.; Pharo, Alastair S. - 2014

Persistent link: https://www.econbiz.de/10010409952

The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model

Framstad, Nils Chr. - 2014 - This version November 27, 2014

A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed...

Persistent link: https://www.econbiz.de/10010436722

Simulationsbasierte Generierung von Situation/Maßnahmen Zuordnungen unter subjektiver Berücksichtigung möglicher Zukünfte und aktuellem Systemzustand im Kontext einer situationsbasierten Steuerung von logistischen Systemen

Klaas, Alexander - 2014

Die Steuerung von logistischen Systemen ist aufgrund der Abhängigkeiten der einzelnen Entscheidungen (beispielsweise der Auswahl eines Einlagerplatzes) eine rechenintensive Aufgabe, die nicht in Echtzeit optimal lösbar ist. Erschwerend ist im praktischen Einsatz, dass die Aufträge online...

Persistent link: https://www.econbiz.de/10010461512

Optimal control of decoupling point with deteriorating items

Yang, Kuan; Wang, Ermei - In: Journal of industrial engineering and management : JIEM 7 (2014) 5, pp. 1368-1384

Purpose: The aim of this paper is to develop a dynamic model to simultaneously determine the optimal position of the decoupling point and the optimal path of the production rate as well as the inventory level in a supply chain. With the objective to minimize the total cost of the deviation from...

Persistent link: https://www.econbiz.de/10011913258

An Agency Theoretic Formulation of Organizational Control Theory

Banker, Rajiv D.; Li, Shaopeng; Plehn-Dujowich, Jose M. - 2014

We propose an analytical model that integrates two parallel independent streams of the literature, agency theory and organizational control theory. In doing so, we provide new insights into agency theory by introducing the concept of a congruent agent, and new insights into organizational...

Persistent link: https://www.econbiz.de/10014192423

Stochastic Control Model for R&D Race in a Mixed Duopoly with Spillovers and Knowledge Stocks

Wang, Jingjing - 2014

We consider the stochastic control model with finite time horizon for a mixed duopoly R&D (Research and Development …) race between the profit-maximizing private firm and welfare maximizing public firm. In our two-firm stochastic control R …&D race model, the stochastic control variable is taken to be the private firm's rate of R&D expenditure and the hazard rate …

Persistent link: https://www.econbiz.de/10013050977

It's Spending that Matters : From Robust Control Theory to Practical Heuristics

Thompson, Fred - 2014

The problems caused by state and local revenue volatility are inherently challenging. The State of Oregon has an especially volatile revenue structure, which can cause all sorts of problems as the state moves through the business cycle. Nevertheless, we have concluded that these problems are...

Persistent link: https://www.econbiz.de/10014140149