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,...

As bunker fuel cost constitutes a major portion of the shipping liners’ operating cost, it is imperative for them to minimize the bunkering cost to remain competitive. Service contract with a fuel supplier is a strategy they venture on to reduce this cost. Typically, liner operators enter into...

This paper presents a model and solution methodology for scheduling patients in a multi-class, multi-resource surgical system. Specifically, given a master schedule that provides a cyclic breakdown of total OR availability into specific daily allocations to each surgical specialty, the model...

This paper extends the results of a particular capacitated vehicle routing problem with pickups and deliveries (see Pandelis et al., 2013b) to the case in which the demands for a material that is delivered to N customers and the demands for a material that is collected from the customers are...