We formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets. Maintaining a factor model structure allows us to easily derive the asset expected returns and their corresponding covariance matrix. By design, these two...

Weakly coupled Markov decision processes (WDPs) arise in dynamic decision-making and reinforcement learning. These models are often high dimensional but decompose into smaller component MDPs when coupling constraints are relaxed. Lagrangian relaxations of WDPs that dualize linking constraints...

The possibility of electric vehicles to technically replace internal combustion engine vehicles and to deliver economic benefits mainly depends on the battery and the charging infrastructure as well as on annual mileage (utilizing the lower variable costs of electric vehicles). Current studies...

Operations research requires models that unambiguously define problems and support the generation and presentation of solution methodology. In the field of dynamic routing, capturing the joint evolution of complex sequential routing decisions and stochastic information is challenging, leading to...