We use the technique of information relaxation to develop a duality-driven iterative approach to obtaining and improving confidence interval estimates for the true value of finite-horizon stochasticdynamic programming problems. We show that the sequence of dual value estimates yielded from the...

Department: Business.

Department: Industrial Engineering and Operations Research.

Purpose The purpose of this paper is to synthesize and evaluate research on hospitality and tourism education in the past ten years (2005-2014) and to suggest directions for future inquiries. Design/methodology/approach From 13 hospitality and tourism journals, 644 full-length articles were...

We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by strategies of threshold type.

Condition-based maintenance has been proven effective in reducing unexpected failures with minimum operational costs. This study considers an optimal condition-based replacement policy with optimal inspection interval when the degradation conforms to an inverse Gaussian process with random...

Electricity power grid operations require information about demand and supply on a variety of timescales and areas. The advent of significant generation contributions by time variable renewable energy sources means that forecasting methods are increasingly required. Some of the earliest...

We derive and analyze Monte Carlo estimators of price sensitivities ("Greeks") for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A...