This paper develops tools for analyzing properties of stochastic objective functions which take the form (formula). The paper analyzes the relationship between properties of the primitive functions, such as utility functions u and probability distributions F, and properties of the stochastic...

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...

Binary random variables often refer to such as customers that are present or not, roads that are open or not, machines that are operable or not. At the same time, stochastic programs often apply to situations where penalties are accumulated when demand is not met, travel times are too long, or...

We consider a non-stationary sequential stochastic optimization problem, in which the underlying cost functions change over time under a variation budget constraint. We propose an $L_{p,q}$-variation functional to quantify the change, which yields less variation for dynamic function sequences...

Managing large-scale systems often involves simultaneously solving thousands of unrelated stochastic optimization problems, each with limited data. Intuition suggests one can decouple these unrelated problems and solve them separately without loss of generality. We propose a novel data-pooling...

We consider a non-stationary variant of a sequential stochastic optimization problem, where the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said change, and study how restrictions on this budget impact...