نتایج جستجو برای: stochastic dynamic programming

تعداد نتایج: 805092  

We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors:  due to the longevity of the    PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...

Mahmood Sabouhi Reza Esfanjari Kenari Somayeh Shirzadi

The present study sustainable management of Guilan Saravan Sylvan Park was planned. The used method in the form of decision support model in three10-year period was studied for parks of various states and with considering the economic, ecological and social criteria during the years 2008 to 2038. By using hierarchical fuzzy analysis method, the reaching to an optimal level of economic, ecologic...

A. Sadegheih, M. Abooie M. Fallahnezhad S. Yazdanparast

This study aimed at presenting a method for formulating optimal production, repair and replacement policies. The system was based on the production rate of defective parts and machine repairs and then was set up to optimize maintenance activities and related costs. The machine is either repaired or replaced. The machine is changed completely in the replacement process, but the productio...

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...

Journal: :Mathematical Programming 2022

Abstract In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important special cases, convex optimization with non-Lipschitzian value functions and linear optimization. We develop dual dynamic programming (SDDP) type algorithms nested decomposition, deterministic sampling, sampling. The key ingredient is a new...

Journal: :ESAIM: Mathematical Modelling and Numerical Analysis 2000

Journal: :Applied Stochastic Models in Business and Industry 2011

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