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In this paper, we state sufficiency, necessity, convergence, existence and uniqueness results for infinite horizon optimal control problems with unbounded payoffs in which the assumptions are very weak and there are no topological assumptions about the model components. We also state a sequence...
Persistent link: https://www.econbiz.de/10012907112
Binary random variables often refer to such as customers that are present or not, roads that are open or not, machines that are operable or not. At the same time, stochastic programs often apply to situations where penalties are accumulated when demand is not met, travel times are too long, or...
Persistent link: https://www.econbiz.de/10012944606
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...
Persistent link: https://www.econbiz.de/10010202969
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...
Persistent link: https://www.econbiz.de/10011381898
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...
Persistent link: https://www.econbiz.de/10014152027
We propose a new method for solving high-dimensional dynamic programming problems and recursive competitive equilibria with a large (but finite) number of heterogeneous agents using deep learning. The „curse of dimensionality“ is avoided due to four complementary techniques: (1) exploiting...
Persistent link: https://www.econbiz.de/10013221172
We propose a new method for solving high-dimensional dynamic programming problems and recursive competitive equilibria with a large (but finite) number of heterogeneous agents using deep learning. The "curse of dimensionality" is avoided due to four complementary techniques: (1) exploiting...
Persistent link: https://www.econbiz.de/10012581353
Dynamic Programming (DP) is a process of deriving an optimal solution to a mathematical problem that has an objective function and environmentally varying limitations. DP has some difficulties to set up structural equations as in other management science techniques. In this context, DP,...
Persistent link: https://www.econbiz.de/10014242875
problems. The paper discusses Pontryagin's maximum principle in optimal control theory under infinite-time horizon and fixed …
Persistent link: https://www.econbiz.de/10014176571
In this contribution we propose a dynamic tracking error problem and we consider the problem of monitoring at discrete point the shortfall of the portfolio below a set of given reference levels of wealth. We formulate and solve the resulting dynamic optimization problem using stochastic...
Persistent link: https://www.econbiz.de/10014040374