Výsledky vyhledávání - "Dynamic Programming/optimal Control"

Optimal Management and Sizing of Energy Storage Under Dynamic Pricing for the Efficient Integration of Renewable Energy Autor Harsha, Pavithra, Dahleh, Munther

“…We address the optimal energy storage management and sizing problem in the presence of renewable energy and dynamic pricing associated with electricity from…”
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Optimal portfolio choice with path dependent benchmarked labor income: A mean field model Autor Djehiche, Boualem, Gozzi, Fausto, Zanco, Giovanni, Zanella, Margherita

“…We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless…”
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Network revenue management with inventory-sensitive bid prices and customer choice Autor Meissner, Joern, Strauss, Arne

“…► Solution method for network revenue management problems with improved accuracy compared to other methods. ► Approximate dynamic programming approach with an…”
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Yield Optimization of Display Advertising with Ad Exchange Autor Balseiro, Santiago R., Feldman, Jon, Mirrokni, Vahab, Muthukrishnan, S.

“…It is clear from the growing role of ad exchanges in the real-time sale of advertising slots that Web publishers are considering a new alternative to their…”
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Relaxations of Weakly Coupled Stochastic Dynamic Programs Autor Adelman, Daniel, Mersereau, Adam J

“…We consider a broad class of stochastic dynamic programming problems that are amenable to relaxation via decomposition. These problems comprise multiple…”
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Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications Autor Aïd, René, Basei, Matteo, Callegaro, Giorgia, Campi, Luciano, Vargiolu, Tiziano

“…We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of this paper is a verification theorem that provides,…”
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Managing Patient Service in a Diagnostic Medical Facility Autor Green, Linda V, Savin, Sergei, Wang, Ben

“…Hospital diagnostic facilities, such as magnetic resonance imaging centers, typically provide service to several diverse patient groups: outpatients, who are…”
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Dynamic Bid Prices in Revenue Management Autor Adelman, Daniel

“…We formally derive the standard deterministic linear program (LP) for bid-price control by making an affine functional approximation to the optimal dynamic…”
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Optimal Server Assignment in Queues with Flexible Servers and Abandonments Autor Andradóttir, Sigrún, Ayhan, Hayriye

“…We study a Markovian system of two stations in tandem and two flexible servers who are capable of working at both stations. The novelty of our work is that…”
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The joint transshipment and production control policies for multi-location production/inventory systems Autor Bhatnagar, Rohit, Lin, Bing

“…•We use a Markov decision process model for the transshipment problem.•We characterize the optimal policy for the two-location backorder model.•We characterize…”
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Using Lagrangian Relaxation to Compute Capacity-Dependent Bid Prices in Network Revenue Management Autor Topaloglu, Huseyin

“…We propose a new method to compute bid prices in network revenue management problems. The novel aspect of our method is that it explicitly considers the…”
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A Learning Approach for Interactive Marketing to a Customer Segment Autor Bertsimas, Dimitris, Mersereau, Adam J

“…When a marketer in an interactive environment decides which messages to send to her customers, she may send messages currently thought to be most promising…”
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Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations Autor Ye, Fan, Zhu, Helin, Zhou, Enlu

“…The "weakly coupled dynamic program" describes a broad class of stochastic optimization problems in which multiple controlled stochastic processes evolve…”
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The Linear Programming Approach to Approximate Dynamic Programming Autor de Farias, D. P, Van Roy, B

“…The curse of dimensionality gives rise to prohibitive computational requirements that render infeasible the exact solution of large-scale stochastic control…”
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An Extended McKean–Vlasov Dynamic Programming Approach to Robust Equilibrium Controls Under Ambiguous Covariance Matrix Autor Lei, Qian, Pun, Chi Seng

“…This paper studies a general class of time-inconsistent stochastic control problems under ambiguous covariance matrix. The time inconsistency is caused in…”
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Dynamic Mechanism Design for Online Commerce Autor Gallien, Jeremie

“…This paper is a mechanism design study for a monopolist selling multiple identical items to potential buyers arriving over time. Participants in our model are…”
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Using Stochastic Approximation Methods to Compute Optimal Base-Stock Levels in Inventory Control Problems Autor Kunnumkal, Sumit, Topaloglu, Huseyin

“…In this paper, we consider numerous inventory control problems for which the base-stock policies are known to be optimal, and we propose stochastic…”
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A Price-Directed Approach to Stochastic Inventory/Routing Autor Adelman, Daniel

“…We consider a new approach to stochastic inventory/routing that approximates the future costs of current actions using optimal dual prices of a linear program…”
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Estimating the Patient's Price of Privacy in Liver Transplantation Autor Sandikci, Burhaneddin, Maillart, Lisa M, Schaefer, Andrew J, Alagoz, Oguzhan, Roberts, Mark S

“…In the United States, patients with end-stage liver disease must join a waiting list to be eligible for cadaveric liver transplantation. Due to privacy…”
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Investment in two alternative projects with multiple switches and the exit option Autor Kravchenko, Igor V., Nunes, Cláudia, Oliveira, Carlos

“…This paper uses an analytical framework to examine a firm’s investment and switching strategy under uncertainty. The context is the possibility to launch and…”
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