Search Results - subject:"dynamic programming"

Minimizing total weighted completion times subject to precedence constraints by dynamic programming

Drexl, Andreas; Kimms, Alf - 1998

In this paper we present a polynomial time dynamic programming algorithm for solving a scheduling problem with a (total …

Persistent link: https://www.econbiz.de/10011558733

Solving higher-dimensional continuous time stochastic control problems by value function regression

Reiter, Michael (contributor) - 1998 - Rev

Persistent link: https://www.econbiz.de/10000988970

Nominal income targeting in an open-economy optimizing model : Conference on Monetary Policy Rules, Stockholm 12 - 12 June 1998

McCallum, Bennett T.; Nelson, Edward - 1998 - Preliminary

Persistent link: https://www.econbiz.de/10010128033

A comparison of solution methods for real business cycle models

Ehlgen, Jürgen - 1998

This paper discusses solution procedures for real business cycle (RBC) models. First, we show that the most often used solution methods, the linear-quadratic approximation, the Lagrange multiplier, and the Euler equation approach all lead to the same decision function. Second, we demonstrate...

Persistent link: https://www.econbiz.de/10011615621

An Approximated Solution to Continuous-Time Stochastic Optimal Control Problems Through Markov Decision Chains

Krawczyk, Jacek B.; Windsor, Alistair - 1998

Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are...

Persistent link: https://www.econbiz.de/10014068827

Solving ALM problems via sequential stochastic programming

Herzog, Florian; Dondi, Gabriel; Keel, Simon; Schumani, … - In: Quantitative Finance 7 (2007) 2, pp. 231-244

In this paper, an approximation of dynamic programming using sequential stochastic programming is introduced to solve … scenarios and re-solving the problem at every time-step, we can solve in principle the dynamic programming problem with an … arbitrarily small error. The dynamic programming algorithm is effected on the approximate sample return dynamics by means of …

Persistent link: https://www.econbiz.de/10005495792

Dynamic Programming: An Introduction by Example

Zietz, Joachim - In: Journal of Economic Education 38 (2007) 2, pp. 165-186

The author introduces some basic dynamic programming techniques, using examples, with the help of the computer algebra …

Persistent link: https://www.econbiz.de/10005405146

STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

HERZOG, FLORIAN; DONDI, GABRIEL; GEERING, HANS P. - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 203-233

This paper proposes a solution method for the discrete-time long-term dynamic portfolio optimization problem with state and asset allocation constraints. We use the ideas of Model Predictive Control (MPC) to solve the constrained stochastic control problem. MPC is a solution technique which was...

Persistent link: https://www.econbiz.de/10004971736

eTransport: Investment planning in energy supply systems with multiple energy carriers

Bakken, Bjorn H.; Skjelbred, Hans I.; Wolfgang, Ove - In: Energy 32 (2007) 9, pp. 1676-1689

The need for local energy planning is not reduced after liberalization. Both integrated energy companies and local governments have to consider alternative solutions across traditional supply and demand sectors and make plans for the total integrated energy infrastructure. This situation has...

Persistent link: https://www.econbiz.de/10010811320

Planning water resources systems with interval stochastic dynamic programming

Luo, B.; Maqsood, I.; Huang, G. - In: Water Resources Management 21 (2007) 6, pp. 997-1014

interval stochastic dynamic programming (SDP) model is presented, which is a hybrid of interval-number optimization and SDP …

Persistent link: https://www.econbiz.de/10010794688