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Value function gradient learning for large-scale multistage stochastic programming problems

Lee, Jinkyu; Bae, Sanghyeon; Kim, Woo Chang; Lee, Yongjae - In: European journal of operational research : EJOR 308 (2023) 1, pp. 321-335

Persistent link: https://www.econbiz.de/10014283043

Multi-criteria optimization and decision-making in radiotherapy

Breedveld, Sebastiaan; Craft, David; Haveren, Rens van; … - In: European journal of operational research : EJOR 277 (2019) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012014774

Inequity-averse stochastic decision processes

Gutjahr, Walter J. - In: European journal of operational research : EJOR 288 (2021) 1, pp. 258-270

Persistent link: https://www.econbiz.de/10012496554

Optimal location-allocation model for the installation of rooftop sports facilities in metropolitan areas

Kwon, Yong Soo; Lee, Bo Kyeong; Sohn, So Young - In: European Sport management quarterly : ESMQ 20 (2020) 2, pp. 189-204

Persistent link: https://www.econbiz.de/10012256478

Stochastic optimization for vaccine and testing kit allocation for the COVID-19 pandemic

Thul, Lawrence; Powell, Warren B. - In: European journal of operational research : EJOR 304 (2023) 1, pp. 325-338

Persistent link: https://www.econbiz.de/10013454214

Fast Upper-Envelope Scan for Discrete-Continuous Dynamic Programming

Dobrescu, Loretti Isabella; Shanker, Akshay - 2022

We introduce a fast upper-envelope scan (FUES) method to compute solutions for dynamic programming problems with continuous and discrete choices. The FUES method builds on the standard endogenous grid method (EGM). Standard EGM applied to problems with continuous and discrete choices does not by...

Persistent link: https://www.econbiz.de/10014079284

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Solving a multiple-qualifications physician scheduling problem with multiple types of tasks by dynamic programming and variable neighborhood search

Lan, Shaowen; Fan, Wenjuan; Yang, Shanlin; Mladenovic, Nenad - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2043-2058

Persistent link: https://www.econbiz.de/10013532407

A fast upper envelope scan method for discrete-continuous dynamic programming

Dobrescu, Loretti Isabella; Shanker, Akshay - 2023

Persistent link: https://www.econbiz.de/10013534359

An approximate dynamic programming algorithm for multi-period maritime fleet renewal problem under uncertain market

Wang, Tingsong; Tian, Xuecheng; Guan, Xu - In: International journal of shipping and transport … 16 (2023) 1/2, pp. 96-119

Persistent link: https://www.econbiz.de/10013550352