Agriculture operates in an uncertain environment. Yields, prices, and resource usage can change dramatically from year to year. However, most analyses of the agricultural sector, at least those using mathematical programming methods, assume decision making is based on average yields, ignoring...

Agriculture operates in an uncertain environment. Yields, prices, and resource usage can change dramatically from year to year. However, most analyses of the agricultural sector, at least those using mathematical programming methods, assume decision making is based on average yields, ignoring...

In this paper, we propose a framework for selecting a high quality global optimal solution for discrete stochastic optimization problems with a predetermined confidence level using general random search methods. This procedure is based on performing the random search algorithm several...

General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a GARCH-type process is used to model the risky asset’s return series so that its time-varying moments and conditional heteroskedasticity can be properly...

We consider a call center model with m input flows and r pools of agents; the m-vector \lambda of instantaneous arrival rates is allowed to be time dependent and to vary stochastically. Seeking to optimize the trade-off between personnel costs and abandonment penalties, we develop and illustrate...

We are concerned with land allocation andinvestment decisions when dealing withpartially degraded areas that might be (1)remediated and returned to a more natural state;or (2) irreversibly developed. This type ofproblem seems particularly relevant in Europewhere the issue of wilderness...

We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions...