In facility layout problems, a major concern is the optimal design or remodeling of the facilities of an organization. The decision maker's objective is to arrange the facility in an optimal way, so that the interaction among functions (i.e. machines, inventories, persons) and places (i.e....

In this paper the issue of mathematical programming and optimization has being revisited. The theory of optimization deals with the development of models and methods that determine optimal solutions to mathematical problems defined. Mathematical model must be some function of any solution that...

A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...

In this paper we study Markov Decision Process (MDP) problems with the restriction that at decision epochs only a finite number of given Markovian decision rules may be applied. The elements of the finite set of allowed decision rules should be mixed to improve the performance. The set of...

This paper demonstrates the existence of a finite set of equilibria in the case of the indeterminacy of linear rational expectations models. The number of equilibria corresponds to the number of ways to select n eigenvectors among a larger set of eigenvectors related to stable eigenvalues. A...

I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in...

The utopia point of a multicriteria optimization problem is the vector that specifies for each criterion the most favourable among the feasible values. The Euclidean compromise solution in multicriteria optimization is a solution concept that assigns to a feasible set the alternative with...

Piecewise deterministic control problems are problems involving stochastic disturbance of a special type. In certain situations, in an otherwise deterministic control system, it may happen that the state jumps at certain stochastic points of time. Examples are sudden oil finds, or sudden...

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

We provide a detailed portfolio analysis for a financial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance...