The Steiner Travelling Salesman Problem (STSP) is a variant of the TSP that is suitable for instances defined on road networks. We consider an extension of the STSP in which the road traversal costs are both stochastic and correlated. This happens, for example, when vehicles are prone to delays...

Finding good parameter values for meta-heuristics is known as the parameter setting problem. A new parameter tuning strategy, called IPTS, is proposed that is a novel instance-specific method to take the trade-off between solution quality and computational time into consideration. Two important...

The travelling salesman problem (TSP) is one of the most prominent NP-hard combinatorial optimisation problems. After over fifty years of intense study, the TSP continues to be of broad theoretical and practical interest. Using a novel approach to empirical scaling analysis, which in principle...

We consider a stochastic knapsack problem in which the event of overflow results in the problem ending with zero return. We assume that there are n types of items available where each type has infinite supply. An item has an exponentially distributed random weight with a known mean depending on...

We present an information good pricing model with persistently heterogeneous consumers and a rising marginal propensity for them to pirate. The dynamic pricing problem faced by a legal seller is solved using a flexible numerical procedure with demand discretisation and sales tracking. Three...

This paper introduces a two-phase approach to solve average cost Markov decision processes, which is based on state space embedding or time aggregation. In the first phase, time aggregation is applied for policy optimization in a prescribed subset of the state space, and a novel result is...

This paper addresses Markov Decision Processes over compact state and action spaces. We investigate the special case of linear dynamics and piecewise-linear and convex immediate costs for the average cost criterion. This model is very general and covers many interesting examples, for instance in...

The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation, we present an efficient numerical method to determine optimal portfolio strategies under time- and...

Managerial flexibility can have a significant impact on the value of new product development projects. We investigate how the market environment in which a firm operates influences the value and use of development flexibility. We characterize the market environment according to two dimensions,...

We consider the economic lot-sizing problem with perishable items (ELS-PI), where each item has a deterministic expiration date. Although all items in stock are equivalent regardless of procurement or expiration date, we allow for an allocation mechanism that defines an order in which the items...