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Sager, Sebastian; Jung, Michael; Kirches, Christian - In: Computational Statistics 73 (2011) 3, pp. 363-380

a novel approach that is based on a decomposition of the MINLP into a NLP and a MILP. We discuss the relation of the … MILP solution to the MINLP solution and formulate bounds for the gap between the two, depending on Lipschitz constants and … the control discretization grid size. The MILP solution can also be used for an efficient initialization of the MINLP …

Persistent link: https://www.econbiz.de/10010759143

Managing the reputation of an award to motivate performance

Gavrila, C.; Caulkins, J.P.; Feichtinger, G.; Tragler, G.; … - In: Computational Statistics 61 (2005) 1, pp. 1-22

Managers wish to motivate workers to exert effort. There is large literature on the use of wages and monetary incentives for this purpose, but in practice the “honor” or “prestige” of an award can be a significant motivator as well, unless the award is given so often that its prestige is...

Persistent link: https://www.econbiz.de/10010847582

Minimum time problems in Economics

Grosset, Luca; Viscolani, Bruno - In: Computational Statistics 61 (2005) 1, pp. 23-32

We analyze the connection between the optimal solutions of minimum time and fixed final time optimal control problems. We discuss some controllability conditions which guarantee the equivalence of the two problems. In fact, under such conditions, not only does an optimal control...

Persistent link: https://www.econbiz.de/10010847670

A scheduling problem for several parallel servers

Schiefermayr, Klaus; Weichbold, Josef - In: Computational Statistics 66 (2007) 1, pp. 127-148

In this paper, we study a scheduling problem of jobs from two different queues on several parallel servers. Jobs have exponentially distributed processing times, and incur costs per unit of time, until they leave the system, and there are no arrivals to the system at any time. The objective is...

Persistent link: https://www.econbiz.de/10010847787

Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

Ewald, Christian-Oliver; Yang, Zhaojun - In: Computational Statistics 68 (2008) 1, pp. 97-123

We study the classical real option problem in which an agent faces the decision if and when to invest optimally into a project. The investment is assumed to be irreversible. This problem has been studied by Myers and Majd (Adv Futures Options Res 4:1–21, 1990) for the case of a complete...

Persistent link: https://www.econbiz.de/10010847880

Accuracy of fluid approximations to controlled birth-and-death processes: absorbing case

Piunovskiy, Alexey; Zhang, Yi - In: Computational Statistics 73 (2011) 2, pp. 159-187

We consider the fluid model of a controlled birth-and-death process with an absorbing state. Instead of analyzing the trajectories, we investigate the performance functionals of the underlying process by considering algebraic equations of the dynamic programming type. We provide the accuracy of...

Persistent link: https://www.econbiz.de/10010847892

Optimal stochastic scheduling in a single server biclass retrial queueing system

Weichbold, Josef; Winkler, Anastasia - In: Computational Statistics 72 (2010) 3, pp. 405-431

The paper deals with the assignment of a single server to two retrial queues. Each customer reapplies for service after an exponentially distributed amount of time. The server operates at customer dependent exponential rates. There are holding costs and costs during service per customer and per...

Persistent link: https://www.econbiz.de/10010847967

Dynamic inventory strategies for profit maximization in a service facility with stochastic service, demand and lead time

Berman, Oded; Kim, Eungab - In: Computational Statistics 60 (2004) 3, pp. 497-521

This paper addresses an optimal inventory control in a supply chain in which customers arrive at a facility according to a Poisson process and the facility provides service which takes exponential amounts of time, using items supplied by an outside supplier with exponential lead time process....

Persistent link: https://www.econbiz.de/10010759172

Optimal control in light traffic Markov decision processes

Koole, Ger; Passchier, Olaf - In: Computational Statistics 45 (1997) 1, pp. 63-79

We consider Markov Decision Processes under light traffic conditions. We develop an algorithm to obtain asymptotically optimal policies for both the total discounted and the average cost criterion. This gives a general framework for several light traffic results in the literature. We illustrate...

Persistent link: https://www.econbiz.de/10010759295

Optimal control of batch service queues with finite service capacity and linear holding costs

Aalto, Samuli - In: Computational Statistics 51 (2000) 2, pp. 263-285

We consider the optimal control problem of certain batch service queueing systems with compound Poisson arrivals and linear holding costs. The control problem involves the determination of the epochs at which the service is initiated as well as the sizes of the batches served. The service times...

Persistent link: https://www.econbiz.de/10010759347