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Combinatorial integral approximation
Sager, Sebastian; Jung, Michael; Kirches, Christian - In: Computational Statistics 73 (2011) 3, pp. 363-380
a novel approach that is based on a decomposition of the MINLP into a NLP and a MILP. We discuss the relation of the … MILP solution to the MINLP solution and formulate bounds for the gap between the two, depending on Lipschitz constants and … the control discretization grid size. The MILP solution can also be used for an efficient initialization of the MINLP …
Persistent link: https://www.econbiz.de/10010759143
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Dynamic pricing, product and process innovation
Chenavaz, Régis - In: European Journal of Operational Research 222 (2012) 3, pp. 553-557
The question of simultaneous dynamic pricing, product and process investment policies is crucial for manufacturing and high-tech industries. This paper models these policies in an optimal control setting. On the supply side, the firm sets prices, product and process investment levels over time....
Persistent link: https://www.econbiz.de/10010597601
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Optimal control and the Fibonacci sequence
Brasch, Thomas von; Byström, Johan; Lystad, Lars Petter - Statistisk Sentralbyrå, Government of Norway - 2012
We bridge mathematical number theory with that of optimal control and show that a generalised Fibonacci sequence enters the control function of finite horizon dynamic optimisation problems with one state and one control variable. In particular, we show that the recursive expression describing...
Persistent link: https://www.econbiz.de/10009421257
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Sufficient conditions for optimality for stochastic evolution equations
Al-Hussein, AbdulRahman - In: Statistics & Probability Letters 83 (2013) 9, pp. 2103-2107
In this paper we derive for a controlled stochastic evolution system on a Hilbert space sufficient conditions for optimality. Our result is derived by using its so-called adjoint backward stochastic evolution equation.
Persistent link: https://www.econbiz.de/10010678735
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A simple proof of functional Itô’s lemma for semimartingales with an application
Levental, Shlomo; Schroder, Mark; Sinha, Sumit - In: Statistics & Probability Letters 83 (2013) 9, pp. 2019-2026
The Itô formula was extended recently by Dupire (2009) to functionals of paths of continuous semimartingales, and by Cont and Fournié (2010a) to functionals of paths of RCLL semimartingales. In contrast to the traditional formula that applies to functions of the current value of a process,...
Persistent link: https://www.econbiz.de/10010678741
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An optimal slow Dutch auction
Shneyerov, Artyom - In: Economic Theory 57 (2014) 3, pp. 577-602
We study slow Dutch auctions, where the clock does not fall instantaneously, but instead falls over time. Buyers are assumed less patient than the seller. In a symmetric setting, we investigate the properties of the optimal revenue-maximizing clock. We find that the clock is genuinely dynamic...
Persistent link: https://www.econbiz.de/10011151147
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Optimal control of impulsive switched systems with minimum subsystem durations
Blanchard, Eunice; Loxton, Ryan; Rehbock, Volker - In: Journal of Global Optimization 60 (2014) 4, pp. 737-750
This paper presents a new computational approach for solving optimal control problems governed by impulsive switched systems. Such systems consist of multiple subsystems operating in succession, with possible instantaneous state jumps occurring when the system switches from one subsystem to...
Persistent link: https://www.econbiz.de/10011151233
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An Eulerian–Lagrangian method for optimization problems governed by multidimensional nonlinear hyperbolic PDEs
Chertock, Alina; Herty, Michael; Kurganov, Alexander - In: Computational Optimization and Applications 59 (2014) 3, pp. 689-724
We present a numerical method for solving tracking-type optimal control problems subject to scalar nonlinear hyperbolic balance laws in one and two space dimensions. Our approach is based on the formal optimality system and requires numerical solutions of the hyperbolic balance law forward in...
Persistent link: https://www.econbiz.de/10011151833
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From Mind to Market: A Global, Dynamic Analysis of R&D
Hinloopen, Jeroen; Smrkolj, Grega; Wagener, Florian - Tinbergen Instituut - 2011
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics and Control</I> (2013), 37(12), 2729-2754.<P> Existing models of R&D are not easily reconciled with four observable aspects of R&D: initial technologies ('ideas') need to be developed further, only a minority of initial...</p></i>
Persistent link: https://www.econbiz.de/10011256239
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Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application
Blüschke-Nikolaeva, Viktoria; Blüschke, Dmitri; Neck, … - COMISEF - 2010
In this paper, we present a new version of the OPTCON algorithm for the optimal control of nonlinear stochastic systems with special reference to econometric models. It delivers approximate numerical solutions of optimum control problems with a quadratic objective function for nonlinear...
Persistent link: https://www.econbiz.de/10008621829