Search Results - subject:"stochastic dynamic programming"

A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction

Jin, Xing; Li, Xun; Tan, Hwee Huat; Wu, Zhenyu - In: European Journal of Operational Research 231 (2013) 2, pp. 362-370

This paper studies the problem of pricing high-dimensional American options. We propose a method based on the state-space partitioning algorithm developed by Jin et al. (2007) and a dimension-reduction approach introduced by Li and Wu (2006). By applying the approach in the present paper, the...

Persistent link: https://www.econbiz.de/10010682487

An optimization framework for addressing aquatic invasive species

Hyytiäinen, Kari; Lehtiniemi, Maiju; Niemi, Jarkko K.; … - In: Ecological Economics 91 (2013) C, pp. 69-79

dynamic programming is applied to investigate when and to what extent a society should engage in efforts to reduce the …This study develops a bio-economic model framework to optimize the management of aquatic invasive species. Stochastic …

Persistent link: https://www.econbiz.de/10011043586

Influence of Guiding Curves in the Optimal Management of a Hydropower System

Arganis-Juárez, Maritza; Mendoza-Ramírez, Rosalva; … - In: Water Resources Management 27 (2013) 15, pp. 4989-5001

of stochastic dynamic programming that incorporates the guiding curve concept and other operating requirements defined by …

Persistent link: https://www.econbiz.de/10010997456

Expected future value decomposition based bid price generation for large-scale network revenue management

Escudero, Laureano F.; Monge, Juan F.; Romero Morales, … - In: Transportation science : a journal of the Institute for … 47 (2013) 2, pp. 181-197

Persistent link: https://www.econbiz.de/10009751570

Optimal production control policy in unreliable batch processing manufacturing systems with transportation delay

Bouslah, B.; Gharbi, A.; Pellerin, R.; Hajji, A. - In: International journal of production research 51 (2013) 1, pp. 264-280

Persistent link: https://www.econbiz.de/10009700307

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75

Persistent link: https://www.econbiz.de/10010360612

Optimal production and admission control for a stochastic SOM system with demands for product and PSS

Wang, Kangzhou; Jiang, Zhibin; Li, Na; Geng, Na - In: International journal of production research 51 (2013) 23/24, pp. 7270-7288

Persistent link: https://www.econbiz.de/10010229337

A two-phase multi criteria dynamic programming approach for personnel selection process

Özdemir, Asli - In: Problems and perspectives in management : PPM ; … 11 (2013) 2, pp. 98-108

Persistent link: https://www.econbiz.de/10010209763

Integrated joint pest management strategies in the presence of control spillovers

Yigezu, Yigezu A.; Alexander, Corinne; Preckel, Paul V.; … - In: European review of agricultural economics : ERAE 40 (2013) 5, pp. 785-805

Persistent link: https://www.econbiz.de/10010341040

The farm level impacts of water sharing plans in the Namoi Valley: A stochastic dynamic programming analysis

Aluwihare, Parakrama B.; Jones, Randall E.; Letcher, … - Australian Agricultural and Resource Economics Society … - 2005

modelling framework, based on stochastic dynamic programming linked to hydrological and biophysical models, to assess the farm …

Persistent link: https://www.econbiz.de/10011098009