Related papers: An Optimal Multiple Stopping Approach to Infrastru…
This article presents results from the first statistically significant study of causes of cost escalation in transport infrastructure projects. The study is based on a sample of 258 rail, bridge, tunnel and road projects worth US$90…
In today's construction industry, poor performance often arises due to various factors related to time, finances, and quality. These factors frequently lead to project delays and resource losses, particularly in terms of financial…
Multistage stochastic programming is a powerful tool allowing decision-makers to revise their decisions at each stage based on the realized uncertainty. However, in practice, organizations are not able to be fully flexible, as decisions…
Suppose you are a fund manager with \$100 million to deploy and two years to invest it. A deal comes across your desk that looks appealing but costs \$50 million -- half of your available capital. Should you take it, or wait for something…
In this paper, we provide optimal solutions to two different (but related) input/output design problems involving large-scale linear dynamical systems, where the cost associated to each directly actuated/measured state variable can take…
In this paper, we present a simple microeconomic model with linear continuous-time dynamics that describes a production-inventory system with debt repayment. This model is formulated in terms of optimal control and its exact solutions are…
We propose a novel group of Gaussian Process based algorithms for fast approximate optimal stopping of time series with specific applications to financial markets. We show that structural properties commonly exhibited by financial time…
Microgrids are recognized as a relevant tool to absorb decentralized renewable energies in the energy mix. However, the sequential handling of multiple stochastic productions and demands, and of storage, make their management a delicate…
A one-size-fits-all paradigm that only adapts the scale and immediate outcome of climate investment to economic circumstances will provide a short-lived, economically inadequate response to climate issues; given the limited resources…
Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…
Under the market background of increasingly personalized product demand and compressed response cycle, the traditional manufacturing model with standardized mass production as the core has been difficult to meet the dual expectations of…
We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and healthcare irreversible investment. Our model is based on a Merton's portfolio and consumption problem, where, in addition,…
Our work investigates the economic efficiency of the prevailing "ladder-step" investment strategy in oil and gas exploration, which advocates for the incremental acquisition of geological information throughout the project lifecycle. By…
The problem of multi-area interchange scheduling in the presence of stochastic generation and load is considered. A new interchange scheduling technique based on a two-stage stochastic minimization of overall expected operating cost is…
Live migration of services is a prerequisite for various use cases that must be fulfilled for the realization of Industry 4.0. In addition, many different types of services need to provide mobility and consequently need to be migrated live.…
This paper presents a mixed-integer linear programming formulation for the multi-mode resource-constrained project scheduling problem with uncertain activity durations. We consider a two-stage robust optimisation approach and find solutions…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
What are the optimal times for an Internet of Things (IoT) device to act as a blockchain miner? The aim is to minimize the energy consumed by low-power IoT devices that log their data into a secure (tamper-proof) distributed ledger. We…
We consider a multiperiod stochastic capacitated facility location problem under uncertain demand and budget in each period. Using a scenario tree representation of the uncertainties, we formulate a multistage stochastic integer program to…
Energy consumption is a major concern in multicore systems. Perhaps the simplest strategy for reducing energy costs is to use only as many cores as necessary while still being able to deliver a desired quality of service. Motivated by…