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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

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

Optimal control of batch service queues with compound Poisson arrivals and finite service capacity

Aalto, Samuli - In: Computational Statistics 48 (1998) 3, pp. 317-335

We consider the optimal control problem of an M X /G(Q)/1 batch service queueing system with Q∞. So, we assume that customers arrive according to a compound Poisson process and are served in batches not greater than the finite service capacity Q. The control problem involves the determination...

Persistent link: https://www.econbiz.de/10010759355

Control of ruin probabilities by discrete-time investments

Schäl, Manfred - In: Computational Statistics 62 (2005) 1, pp. 141-158

The control problem of controlling ruin probabilities by investments in a financial market is studied. The insurance business is described by the usual Cramer-Lundberg-type model and the risk driver of the financial market is a compound Poisson process. Conditions for investments to be...

Persistent link: https://www.econbiz.de/10010759378

New product introduction: goodwill, time and advertising cost

Buratto, Alessandra; Viscolani, Bruno - In: Computational Statistics 55 (2002) 1, pp. 55-68

The advertising activity has an important role in the introduction of a new product. We tackle the problem of determining the advertising plan for preparing the product introduction, having the objectives of maximizing the product image at the launch time, minimizing the campaign length and...

Persistent link: https://www.econbiz.de/10010759416

Optimal investment under partial information

Björk, Tomas; Davis, Mark; Landén, Camilla - In: Computational Statistics 71 (2010) 2, pp. 371-399

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

Persistent link: https://www.econbiz.de/10010759460

A necessary extremality condition for a set-valued stochastic control problem

Fritsch, Hagen - In: Computational Statistics 46 (1997) 1, pp. 29-49

For a controlled stochastic dynamic system with set-valued drift coefficient and a terminal cost functional we derive a necessary extremality condition in form of a minimum principle. Copyright Physica-Verlag 1997

Persistent link: https://www.econbiz.de/10010759499

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