In this paper, we consider a stochastic inventory system of two products where a fi xed proportion of the unsatisfied ed demand for one product purchases the other product as a substitute. We formulate the optimal inventory control problem as a dynamic program; and by developing two key...

Using a statistical approach, widespread in natural sciences, a two-level model to control the parameters of the flow line production system has been built. The state of the system is given by the amounts of sets of the objects of labour. The state of the subject of labour is given by a point in...

The Least-Squares Monte Carlo method has gained popularity recent years due to its ability to handle multi-dimensional stochastic control problems without restrictions on the state dynamics, including problems with state variables affected by control. However, when applied to stochastic control...

Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates...

This article presents a new area of application for Automatic Differentiation (AD): Computing parametric sensitivities for optimisation problems. For an optimisation problem containing parameters which are not among the optimisation variables, the term parametric sensitivity refers to the...

We extend the control function approach of Altonji and Mansfield (2018) to allow for multiple group levels and complementarities. Our analysis provides a foundation for causal interpretation of multilevel mixed effects models in the presence of sorting. In our empirical application, we obtain...

Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates...

Many fed-batch processes can be considered as a class of control affine nonlinear systems. In this paper, a new type of neural network for modelling fed-batch processes, called as Control Affine Feedforward Neural Network (CAFNN), is proposed. For constrained nonlinear optimal control of...

We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type which are pure jump processes obtained as solutions of...