Stochastic dynamic programming
Dice games and stochastic dynamic programming
... • minimal expected number of turns to reach 100 points • maximal probability of reaching 100 points in a given number of turns. The optimal control rules can be calculated from the optimality equa- tions from ...
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Dynamic Asset Allocation Strategies Using a Stochastic Dynamic Programming Approach
... full dynamic and multi-dimensional nature of the asset allocation problem could be captured through applications of stochastic dynamic programming and stochastic pro- gramming ...
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Automated Flight Routing Using Stochastic Dynamic Programming
... on stochastic dynamic programming in response to winds, hazardous weather, and congested ...A stochastic disturbance model is developed to better incorporate into the reroute design process ...
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A Stochastic Dynamic Programming Approach To Balancing Wind Intermittency With Hydropower
... a stochastic wind ...a stochastic dynamic programming (SDP) approach is used to optimize day-ahead power commitments, while a nonlinear programming model optimizes the within-day ...
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OPTIMAL RESERVOIR OPERATING POLICIES ? A STOCHASTIC DYNAMIC PROGRAMMING APPROACH
... study, Stochastic Dynamic Programming (SDP) model has been developed to derive the optimal operating policy for a single reservoir with multiple ...
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Stochastic Dynamic Programming Based Approaches to Sensor Resource Management
... a stochastic dynamic programming based approach to solve Sensor Resource Management (SRM) problems such as occur in tracking multiple targets with electronically scanned, multi-mode ...a ...
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Modelling the operation of multireservoir systems using decomposition and stochastic dynamic programming
... system to reduce the dimension of the stochastic dynamic programming model from 10 to 4. Although Saad and Turgeon [10] note that principal component analysis could be applied separately to ...
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Modelling the operation of multireservoir systems using decomposition and stochastic dynamic programming
... system to reduce the dimension of the stochastic dynamic programming model from 10 to 4. Although Saad and Turgeon [10] note that principal component analysis could be applied separately to ...
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Determining the optimal selling time of cattle: A stochastic dynamic programming approach
... discrete stochastic dynamic programming framework to support a manager’s decision-making process of whether to sell or to keep fattening animals in the beef ...
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A Multi-Stage Single-Machine Replacement Strategy Using Stochastic Dynamic Programming
... In this paper, the single machine replacement problem is being modeled into the frameworks of stochastic dynamic programming and control threshold policy, where some properties of the optimal values ...
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Dynamic Asset Allocation Using Stochastic Programming and Stochastic Dynamic Programming Techniques
... allocation for many stages, serially independent returns processes, and transaction costs, Dantzig and Infanger (1991) • Monte Carlo Pre-Sampling – Generating a multi-stage stochastic program using sampling and ...
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Stochastic Dynamic Programming with Factored Representations
... Our SPI algorithm was shown to offer some significant advantages in certain problems, both in terms of time and space requirements, compared to unstructured dynamic programming. We also described some ...
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Stochastic dynamic programming with factored representations
... standard dynamic programming algorithms for solving MDPs rely on explicit, state- based specifications and ...use dynamic Bayesian networks (with decision trees representing the local families of ...
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Stochastic dynamic programming methods for the portfolio selection problem
... Unlike the simple linear approximation, in the piecewise linear approximation we notice that risk affects the composition of the selected portfolios. Further, unlike the linear approximation with upper bounds, here ...
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A Stochastic Dynamic Programming Model of Bycatch Control in Fisheries
... Using parameters derived from the cod and haddock fisheries in the Northwest Atlantic Fisheries Organization area 4X (Nova Scotia, Canada), we compare the expected net economic benefits [r] ...
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Persistently optimal policies in stochastic dynamic programming with generalized discounting
... Our approach is in spirit of the von Neumann-Morgenstern concept and is based on the notion of expectation. First, we define a utility on the space of trajectories of the process in the finite and infinite time horizon ...
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A stochastic dynamic programming approach for pricing options on stock-index futures
... For each option, Table 8 presents the closing price, maturity in days, closest prices obtained using the DP approach with historical and implied volatility, corresponding vo[r] ...
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Determining the Direct Mailing Frequency with Dynamic Stochastic Programming
... Econometric Institute Report EI2000-34/A Abstract Both in business to business and in consumer markets direct mailings are an important means of communication with individual customers. This paper studies the mailing ...
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Hybrid Differential Dynamic Programming with Stochastic Search
... THE STOCHASTIC STEP Introduction of departure and arrival times as decision variables adds many local minima to the trajectory optimization problem, but HDDP iterates are constrained by the trust-region radius ...
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Hybrid Differential Dynamic Programming with Stochastic Search
... This study implements HDDP to compute spacecraft trajectories and uses MBH as a stochastic search step to find better solutions.. DDP – Differential Dynamic Programming a trajectory o[r] ...
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