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Solving average cost Markov decision processes by means of a two-phase time aggregation algorithm

Arruda, E. F.; Fragoso, M. D. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 697-705

Persistent link: https://www.econbiz.de/10010486967

A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities

Aktar, Yalçin; Taflin, Erik - In: Mathematics and financial economics 8 (2014) 4, pp. 489-509

Persistent link: https://www.econbiz.de/10010491879

Modeling and optimization control of a demand-driven, conveyor-serviced production station

Hao, Tang; Xu, Lingling; Sun, Jing; Chen, Yingjun; Zhou, Lei - In: European journal of operational research : EJOR 243 (2015) 3, pp. 839-851

Persistent link: https://www.econbiz.de/10010513855

On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term

Fabbri, Giorgio; Federico, Salvatore - In: Mathematical economics letters 2 (2014) 3/4, pp. 33-43

Persistent link: https://www.econbiz.de/10010496358

Optimizing mining rates under financial uncertainty in global mining complexes

Kizilkale, Arman C.; Dimitrakopoulos, Roussos - In: International journal of production economics 158 (2014), pp. 359-365

Persistent link: https://www.econbiz.de/10010437945

A solvable two-dimensional degenerate singular stochastic control problem with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2014

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian...

Persistent link: https://www.econbiz.de/10010438234