Search Results - subject:"dynamic programming"

Introduction to stochastic dynamic programming

Ross, Sheldon M. - 1983

Persistent link: https://www.econbiz.de/10004677762

Optimal Sequential Investment Decisions Under Conditions of Uncertainty

Prastacos, Gregory P. - In: Management Science 29 (1983) 1, pp. 118-134

This paper presents a mathematical model of sequential investment behavior under conditions of uncertainty. The model addresses the problem of an investor with access to a limited pool of capital, who makes sequential decisions on long-lasting investments, under uncertainty as to the timing or...

Persistent link: https://www.econbiz.de/10009197310

Sequential Analysis of the Stay/Leave Decision: U.S. Air Force Officers

Gotz, Glenn A.; McCall, John J. - In: Management Science 29 (1983) 3, pp. 335-351

Force through ROTC. On average, the officers' stay/leave behavior conforms with the model's predictions. Dynamic programming … is the methodology used to construct the stay/leave model. Two versions of the dynamic programming model are considered …. First, a sequential decision model for a risk-neutral agent is developed. The second version of the dynamic programming …

Persistent link: https://www.econbiz.de/10009197439

The Optimal Selection of Small Portfolios

Blog, B.; Hoek, G. van der; Kan, A. H. G. Rinnooy; … - In: Management Science 29 (1983) 7, pp. 792-798

Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and...

Persistent link: https://www.econbiz.de/10009203801

Methods for the Evaluation of Permutations as Strategies in Stochastic Scheduling Problems

Glazebrook, K. D. - In: Management Science 29 (1983) 10, pp. 1142-1155

A collection of stochastic jobs is to be processed by a single machine in a manner which is consistent with a precedence relation on the job set. Costs are incurred as jobs are processed and rewards are earned when they complete. The problem of finding optimal processing strategies is in general...

Persistent link: https://www.econbiz.de/10009203854

A Hybrid Algorithm for Simultaneous Scheduling of Production and Distribution in Multi-Echelon Structures

Williams, Jack F. - In: Management Science 29 (1983) 1, pp. 77-92

This paper presents a dynamic programming algorithm for simultaneous determination of production batch sizes in an …

Persistent link: https://www.econbiz.de/10009203889

An Inspection Policy Model for Production Facilities

Luss, Hanan - In: Management Science 29 (1983) 9, pp. 1102-1109

condition. The costs considered include inspection, operating and repair costs. We present a dynamic programming algorithm that …

Persistent link: https://www.econbiz.de/10009208450

A Multi-Item Maintenance Center Inventory Model for Low-Demand Reparable Items

Schaefer, Margaret K. - In: Management Science 29 (1983) 9, pp. 1062-1068

obtained using dynamic programming. Approximate solutions, found easily by marginal analysis, have readily computed bounds on …

Persistent link: https://www.econbiz.de/10009209157

Market Value Maximization and Markov Dynamic Programming

Grinold, Richard C. - In: Management Science 29 (1983) 5, pp. 583-594

This paper shows how an operational method for solving dynamic programs can be used, in some cases, to solve the problem of maximizing a firm's market value. The problem is formulated as a Markov decision problem that can be solved via linear programming. The paper shows how to calculate (or...

Persistent link: https://www.econbiz.de/10009214618

Optimal and time-consistent policies in continuous time rational expectations models

Buiter, Willem H. - 1983

Persistent link: https://www.econbiz.de/10001504408