We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective, and provide a successive convex program algorithm that...

Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the ``error maximization'' problem where inaccuracy in parameter estimation...

This paper introduces the MCTS algorithm to the financial world and focuses on solving significant multi-period financial planning models by combining a Monte Carlo Tree Search algorithm with a deep neural network. The MCTS provides an advanced start for the neural network so that the combined...

Beijing could be an attractive region to initiate a hydrogen infrastructure for transportation. Air quality is poor, oil imports are soaring, and there is a desire to introduce innovative responses for the 2008 Olympics. If Beijing were to proceed to build hydrogen infrastructure before and...

Beijing could be an attractive region to initiate a hydrogen infrastructure for transportation. Air quality is poor, oil imports are soaring, and there is a desire to introduce innovative responses for the 2008 Olympics. If Beijing were to proceed to build hydrogen infrastructure before and...

Southern California has been proposed as a likely site for developing a hydrogen refueling infrastructure. In this paper, we apply dynamic programming to identify optimized strategies for supplying hydrogen over time in Southern California. GIS-based traffic data are used to model the location...

Optimal deployment of limited emergency resources in a large area is of interest to public agencies at all levels. In this paper, the problem of allocating limited emergency service vehicles including fire engines, fire trucks, and ambulances among a set of candidate stations is formulated as a...

This paper presents the results of a model of hydrogen production from waste biomass in California. We develop a profit-maximizing model of a biomass hydrogen industry from field to vehicle tank. This model is used to estimate the economic potential for hydrogen production from two waste biomass...

Southern California has been proposed as a likely site for developing a hydrogen refueling infrastructure. In this paper, we apply dynamic programming to identify optimized strategies for supplying hydrogen over time in Southern California. GIS-based traffic data are used to model the location...

Many important decision making processes in transportation planning and engineering involve repetitive computation of network performance, measured by total network delay, throughput, network efficiency, etc. The computational complexity imposed by repetitive evaluation of these measures,...