In this paper we propose a composite Variational Inequality formulation for modeling multi-mode, multi-class and multi-criteria stochastic dynamic user equilibrium problem in recurrent congestion network with queues. The each mode of travelers is classified into two classes. One is the equipped traveler following stochastic dynamic user-equilibrium with less uncertainty of travel cost, another ...

in this paper, we present an application of the stochastic calculusto the problem of modeling electrical networks. the filtering problem have animportant role in the theory of stochastic differential equations(sdes). in thisarticle, we present an application of the continuous kalman-bucy filter for a rlcircuit. the deterministic model of the circuit is replaced by a stochastic model byadding a ...

1.1 Reward model The next step in defining the model is to describe how the reward are generated. This is where the stochastic assumption and IID model comes in. In particular, we assume that the reward from each arm i follows a distribution νi with mean μi. When pulling an arm i, the reward will be generated independently from the distribution νi. More precisely, let Ht−1 denote the history un...

The paper discusses the application of multi-stage stochastic optimization for managing and optimizing expected returns versus risk, and contrasts static (single-stage) versus dynamic (multi-stage) portfolio optimization. We present how to best fund a pool of similar fixed rate mortgages through issuing bonds, callable and non-callable, of various maturities using stochastic optimization. We di...

@article{KautEA12, author = {Michal Kaut and Kjetil T. Midthun and Adrian S. Werner and Asgeir Tomasgard and Lars Hellemo and Marte Fodstad}, title = {Multi-horizon stochastic programming}, journal = {Computational Management Science}, year = {2014}, volume = {11}, number = {1--2}, pages = {179--193}, note = {Special Issue: Computational Techniques in Management Science}, doi = {10.1007/s10287-...