This paper presents a robust optimization model for n-person finite state/action stochastic games with incomplete information. We consider nonzero sum discounted stochastic games in which none of the players knows the true data of a game, and each player adopts a robust optimization approach to address the uncertainty. We call these games discounted robust stochastic games. Such games allow us ...

A general-purpose, simulation-based algorithm S-ACO for solving stochastic combinatorial optimization problems by means of the ant colony optimization (ACO) paradigm is investigated. Whereas in a prior publication, theoretical convergence of S-ACO to the globally optimal solution has been demonstrated, the present article is concerned with an experimental study of S-ACO on two stochastic proble...

This paper is concerned with using stochastic approximation and optimization methods for stock liquidation decision making and option pricing. For stock liquidation problem, we present a class of stochastic recursive algorithms, and make comparisons of performances using stochastic approximation methods and that of certain commonly used heuristic methods, such as moving averaging method and mov...

Active fault diagnosis can improve the diagnosability of potential faults by injecting a suitable input into the system. This input can be designed using either a stochastic or a deterministic framework. The stochastic approach aims to maximize the probability of a correct diagnosis at a certain time, whereas the deterministic approach aims to guarantee diagnosis within a certain time interval....

Air traffic delay is a growing and expensive problem. We investigated ways to reduce the cost and magnitude of such delays by trading gate delays against more expensive air delays. Air management and planning at this level can be facilitated by simulation, especially for strategies that alter controls on the system. We used the SIMMOD air traffic simulation to model the system. The objective wa...

Modeling of fermentation processes is so complicated and uncertain; therefore it is necessary to provide a robust and appropriate dynamic optimization method. In order to obtain the maximum amount of yeast (Saccharomyces cerevisiae), the bioreactor must be operated under optimal conditions. To determine substrate feeding in a fed-batch bioreactor, a simulated annealing (SA) approach was examine...

We introduce a new optimization framework to maximize the expected spread of cascades in networks. Our model allows a rich set of actions that directly manipulate cascade dynamics by adding nodes or edges to the network. Our motivating application is one in spatial conservation planning, where a cascade models the dispersal of wild animals through a fragmented landscape. We propose a mixed inte...