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Dynamic optimal control and simulation for unreliable manufacturing systems under perishable product and shelf life variability

Gharbi, Ali; Kenné, Jean-Pierre; Kaddachi, Rawia - In: International journal of production economics 247 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013337659

Simulation analysis of economies stochastically controlled by stock- and order- signals

Kapitány, Zsuzsa - 1980

Persistent link: https://www.econbiz.de/10002315227

A Backward Simulation Method for Stochastic Optimal Control Problems

Shen, Zhiyi - 2019

A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework … control problems as analytical solutions are not tractable in general. This paper generalizes the LSMC algorithm proposed in … Shen and Weng (2017) to solve a wide class of stochastic optimal control models. Our algorithm has three pillars: a …

Persistent link: https://www.econbiz.de/10012894503

Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization

Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 635-667

Persistent link: https://www.econbiz.de/10009298518

Replenishment, production and quality control strategies in three-stage supply chain

Hlioui, Rached; Gharbi, Ali; Hajji, Adnène - In: International journal of production economics 166 (2015), pp. 90-102

Persistent link: https://www.econbiz.de/10011334061

Production control of failure-prone manufacturing-remanufacturing systems using mixed dedicated and shared facilities

Assid, M.; Gharbi, A.; Hajji, A. - In: International journal of production economics 224 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012233493

An Iterative Simulation Approach for Solving Stochastic Control Problems in Finance

Yang, Chunyu - 2013

-dimensional discrete-time stochastic control problems under general constraints. The method employs quasi-random grids and radial basis … Finance applications: a) dynamic portfolio choice with labor income and financial constraints, a continuous control problem; b …) dynamic portfolio choice with capital gain taxation, a high-dimensional singular control problem …

Persistent link: https://www.econbiz.de/10013078890

Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering

Malik, Sheheryar; Pitt, Michael K. - 2011

In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...

Persistent link: https://www.econbiz.de/10014185810

Computational Evaluation of Hierarchical Production Control Policies for Stochastic Manufacturing Systems

Samaratunga, Chand; Sethi, Suresh; Yu Zhou, Xun - 2009

This paper is concerned with near-optimal control of manufacturing systems consisting of two unreliable machines in …

Persistent link: https://www.econbiz.de/10014218552

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Malhotra, Yogesh - 2015

Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...

Persistent link: https://www.econbiz.de/10013029835