Solving nonlinear dynamic stochastic models: An algorithm computing value function by simulations
نویسندگان
چکیده
This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications. D 2004 Elsevier B.V. All rights reserved.
منابع مشابه
An Application of the Stochastic Optimal Control Algorithm (OPTCON) to the Public Sector Economy of Iran
In this paper we first describe the stochastic optimal control algorithm called ((OPTCON)). The algorithm minimizes an intertemporal objective loss function subject to a nonlinear dynamic system in order to achieve optimal value of control (or instrument) variables. Second as an application, we implemented the algorithm by the statistical programming system ((GAUSS)) to determine the optimal fi...
متن کاملSolving a Stochastic Cellular Manufacturing Model by Using Genetic Algorithms
This paper presents a mathematical model for designing cellular manufacturing systems (CMSs) solved by genetic algorithms. This model assumes a dynamic production, a stochastic demand, routing flexibility, and machine flexibility. CMS is an application of group technology (GT) for clustering parts and machines by means of their operational and / or apparent form similarity in different aspects ...
متن کاملA Chance Constrained Integer Programming Model for Open Pit Long-Term Production Planning
The mine production planning defines a sequence of block extraction to obtain the highest NPV under a number of constraints. Mathematical programming has become a widespread approach to optimize production planning, for open pit mines since the 1960s. However, the previous and existing models are found to be limited in their ability to explicitly incorporate the ore grade uncertainty into the p...
متن کاملWilson wavelets for solving nonlinear stochastic integral equations
A new computational method based on Wilson wavelets is proposed for solving a class of nonlinear stochastic It^{o}-Volterra integral equations. To do this a new stochastic operational matrix of It^{o} integration for Wilson wavelets is obtained. Block pulse functions (BPFs) and collocation method are used to generate a process to forming this matrix. Using these basis functions and their operat...
متن کاملRobust inter and intra-cell layouts design model dealing with stochastic dynamic problems
In this paper, a novel quadratic assignment-based mathematical model is developed for concurrent design of robust inter and intra-cell layouts in dynamic stochastic environments of manufacturing systems. In the proposed model, in addition to considering time value of money, the product demands are presumed to be dependent normally distributed random variables with known expectation, variance, a...
متن کامل