Related papers: Stochastic production planning with regime switchi…

We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…

This paper deals with the problem of clearing sequential electricity markets under uncertainty. We consider the European approach, where reserves are traded separately from energy to meet exogenous reserve requirements. Recently pro- posed…

We extend the stochastic production planning framework to manufacturing systems, where the set of admissible production configurations is described by a general smooth convex domain $\omega $. In our setting, production operations continue…

Here a real life optimal control problem under fuzzy time period using variational principle is formulated and Solved. The unit production cost is a function of production rate and also dependent on raw material cost, development cost due…

We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…

Wind farms can increase annual energy production (AEP) with advanced control algorithms by coordinating the set points of individual turbine controllers across the farm. However, it remains a significant challenge to achieve performance…

Consider the following multi-phase project management problem. Each project is divided into several phases. All projects enter the next phase at the same point chosen by the decision maker based on observations up to that point. Within each…

The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…

Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…

The hierarchical structure of production planning has the advantage of assigning different decision variables to their respective time horizons and therefore ensures their manageability. However, the restrictive structure of this top-down…

The most common approaches for solving multistage stochastic programming problems in the research literature have been to either use value functions ("dynamic programming") or scenario trees ("stochastic programming") to approximate the…

The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…

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…

In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…

Decisions for a variable renewable resource generators commitment in the energy market are typically made in advance when little information is obtainable about wind availability and market prices. Much research has been published…

In multistage decision problems, it is often the case that an initial strategic decision (such as investment) is followed by many operational ones (operating the investment). Such initial strategic decision can be seen as a parameter…

This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…

This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…

The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…