Related papers: An Optimal Multiple Stopping Approach to Infrastru…
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly…
Compared to other transportation modes, road, railroad and vessel, multiproduct pipelines are the safest and most economical way of conveying petroleum products over long distances day and night. During the last two decades, the operational…
Strategic valuation of efficient and well-timed network investments under uncertain electricity market environment has become increasingly challenging, because there generally exist multiple interacting options in these investments, and…
Grid-connected hybrid renewable power systems with energy storage can reduce the intermittency of renewable power supply. However, emerging energy storage technologies need improvement to compete with lithium-ion batteries and reduce the…
Lock-in, the escalating commitment of decision-makers to an ineffective course of action, has the potential to explain the large cost overruns in large scale transportation infrastructure projects. Lock-in can occur both at the…
We study logistical investment flexibility provided by modular processing technologies for mitigating risk. Specifically, we propose a multi-stage stochastic programming formulation that determines optimal capacity expansion plans that…
Considering the close interaction between spare parts logistics and maintenance planning, this paper presents a model for joint optimization of multi-location spare parts supply chain and condition-based maintenance under predictive and…
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is a generic function of time and if the `subjective' life…
In this paper we introduce a continuous time multi stage stochastic optimization for scheduling generating units, their commitment, reserve capacities and their continuous time generation profiles in the day-ahead wholesale electricity…
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow…
We study the inbound supply mode and inventory management decision making for a company that sells an assortment of products. Stochastic demand for each product arrives periodically and unmet demand is backlogged. Each product has two…
We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…
Newly, the rates of energy and material consumption to augment industrial pro-duction are substantially high, thus the environmentally sustainable industrial de-velopment has emerged as the main issue of either developed or developing…
Sequentially solving similar optimization problems under strict runtime constraints is essential for many applications, such as robot control, autonomous driving, and portfolio management. The performance of local optimization methods in…
This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Levy process. This allows the model to…
Let an oil and gas field consists of clusters in each of which an investor can launch at most one project. During the implementation of a particular project, all characteristics are known, including annual production volumes, necessary…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
Disasters and disruptions such as the COVID-19 pandemic can significantly interrupt supply chains and industries. To control these disruptions, decision-makers must focus on supply chain resiliency. This paper proposes a multi-stage,…
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…