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Optimising Income Drawdown in the Dual Space

Emms, Paul - 2020

One attractive objective for a pensioner using the income drawdown option is to minimise the deviation of the pension fund from a prescribed deterministic target. Typically, this problem is formulated as a linear-quadratic optimal control problem, which has the shortcoming that over-performance...

Persistent link: https://www.econbiz.de/10012857631

Stochastic Optimization Applied to Self-Financing Portfolio : Does Bequest Matter?

Gazioglu, Saziye - 2011

assume a constant consumption-wealth ratio that constrains the boundary conditions, hence influencing the coefficient of the … risk premium. The main contribution of our paper is that we drop the assumption of a constant consumption-wealth ratio. We … terminal condition of wealth with and without bequests. We also simulate the stochastic optimization with a self …

Persistent link: https://www.econbiz.de/10013127481

Optimal Batch Ordering Over a Finite Planning Horizon

Alsuwainea, Abdullah O. - 2020

This paper is concerned with finding an optimal inventory policy for a finite horizon, two-stage inventory model. In this model, products may be manufactured in two stages. The first stage uses raw material from an external supplier and the second stage uses raw material from defective items...

Persistent link: https://www.econbiz.de/10012838117

Computation of Approximate Optimal Policies in a Partially Observed Inventory Model With Rain Checks

Bensoussan, Alain - 2020

This paper proposes a new methodology to solve partially observed inventory problems. Generally, these problems have infinite dimensional states that are conditional distribution of the inventory level. Our methodology involves linearizing the state transitions via unnormalized probabilities. It...

Persistent link: https://www.econbiz.de/10012846527

A Dynamic Lot Sizing Model with Learning in Setups

Chand, Suresh; Sethi, Suresh - 2017

This paper considers the dynamic lot sizing problem of H. M. Wagner and T. M. Whitin with the assumption that the total cost of n setups is a concave nondecreasing function of n. Such setup costs could arise from the worker learning in setups and/or technological improvements in setup methods....

Persistent link: https://www.econbiz.de/10014218587

Global Optimization of Some Difficult Benchmark Functions by Cuckoo-Host Co-Evolution Meta-Heuristics

Mishra, Sudhanshu K. - 2012

This paper proposes a novel method of global optimization based on cuckoo-host co-evaluation. It also develops a Fortran-77 code for the algorithm. The algorithm has been tested on 96 benchmark functions (of which the results of 30 relatively harder problems have been reported). The proposed...

Persistent link: https://www.econbiz.de/10014040268

Exploiting Fitness Distance Correlation of Set Covering Problems

Finger, Markus; Stutzle, Thomas; Ramalhinho Dias … - 2002

The set covering problem is an NP-hard combinatorial optimization problem that arises in applications ranging from crew scheduling in airlines to driver scheduling in public mass transport. In this paper we analyze search space characteristics of a widely used set of benchmark instances through...

Persistent link: https://www.econbiz.de/10014116698

Large-Scale Mean-Variance Optimization and Chunking Algorithm

Koumou, Gilles Boevi - 2022

We propose a new, highly effective and easy-to-implement algorithm for solving large-scale mean-variance optimization problems --- with weight upper bound constraints and without short sales --- when the size of mean-variance portfolios is much smaller than the number of assets, which is almost...

Persistent link: https://www.econbiz.de/10013308810

Reducing the Dimensionality of Linear Quadratic Control Problems

Balvers, Ronald J.; Mitchell, Douglas W. - 2001

In linear-quadratic control (LQC) problems with singular control cost matrix and/or singular transition matrix, we derive a reduction of the dimension of the Riccati matrix, simplifying iteration and solution. Employing a novel transformation, we show that, under a certain rank condition, the...

Persistent link: https://www.econbiz.de/10010324881

Solving discrete systems of nonlinear equations

Laan, Gerard van der (contributor); Talman, Dolf (contributor) - 2008

Persistent link: https://www.econbiz.de/10003807167

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