共查询到20条相似文献,搜索用时 31 毫秒
1.
In this paper, we consider the multi-asset optimal investment-consumption model: a riskless asset and d risky assets. when the initial time is t?0, for a proportional transaction costs and discount factors, we proof that the value function of the model is a unique viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equations. 相似文献
2.
Gour Chandra Mahata 《Journal of Mathematical Modelling and Algorithms》2011,10(4):323-340
This paper investigates a production lot-size inventory model for perishable items under two levels of trade credit for a
retailer to reflect the supply chain management situation. We assume that the retailer maintains a powerful position and can
obtain full trade credit offered by supplier yet retailer just offers the partial trade credit to customers. Under these conditions,
retailer can obtain the most benefits. Then, we investigate the retailer’s inventory policy as a cost minimization problem
to determine the retailer’s inventory policy. A rigorous mathematical analysis is used to prove that the annual total variable
cost for the retailer is convex, that is, unique and global-optimal solution exists. Mathematical theorems are developed to
efficiently determine the optimal ordering policies for the retailer. The results in this paper generalize some already published
results. Finally, numerical examples are given to illustrate the theorems and obtain a lot of managerial phenomena. 相似文献
3.
Fred Espen Benth Kenneth Hvistendahl Karlsen Kristin Reikvam 《Stochastics An International Journal of Probability and Stochastic Processes》2013,85(3-4):517-569
We investigate an infinite horizon investment-consumption model in which a single agent consumes and distributes her wealth between a risk-free asset (bank account) and several risky assets (stocks) whose prices are governed by Lévy (jump-diffusion) processes. We suppose that transactions between the assets incur a transaction cost proportional to the size of the transaction. The problem is to maximize the total utility of consumption under Hindy-Huang-Kreps intertemporal preferences. This portfolio optimisation problem is formulated as a singular stochastic control problem and is solved using dynamic programming and the theory of viscosity solutions. The associated dynamic programming equation is a second order degenerate elliptic integro-differential variational inequality subject to a state constraint boundary condition. The main result is a characterization of the value function as the unique constrained viscosity solution of the dynamic programming equation. Emphasis is put on providing a framework that allows for a general class of Lévy processes. Owing to the complexity of our investment-consumption model, it is not possible to derive closed form solutions for the value function. Hence, the optimal policies cannot be obtained in closed form from the first order conditions for the dynamic programming equation. Therefore, we have to resort to numerical methods for computing the value function as well as the associated optimal policies. In view of the viscosity solution theory, the analysis found in this paper will ensure the convergence of a large class of numerical methods for the investment-consumption model in question. 相似文献
4.
Ching-jen Sun 《International Journal of Game Theory》2011,40(3):645-653
Laffont and Tirole (Econometrica 56:1153–1175) show that when uncertainty about an agent’s ability is small, the equilibrium
must involve a large amount of pooling, but, whether the continuation equilibrium induced by an optimal first-period menu
of contracts is partitional or not, remains unclear. They construct a non-partitional continuation equilibrium for a given
first-period menu of contracts and conjecture that this continuation equilibrium need not be suboptimal for the whole game
under small uncertainty. We show that, irrespective of the amount of uncertainty, this non-partitional continuation equilibrium
generates a strictly smaller payoff for the principal than a different menu of contracts with a partitional continuation equilibrium.
In this sense, Laffont and Tirole’s menu of contracts, giving rise to a non-partitional continuation equilibrium, is not optimal. 相似文献
5.
Optimal Ordering Policy for Deteriorating Items with Partial Backlogging under Permissible Delay in Payments 总被引:1,自引:0,他引:1
In 1985, Goyal developed an Economic order quantity (EOQ) model under conditions of permissible delay in payments. Jamal et
al. then generalized Goyal’s model for deteriorating items with completely backlogging. However, they only ran several simulations
to indicate that the total relevant cost may be convex. Recently, Teng amended Goyal’s model by considering the difference
between unit price and unit cost, and provided an alternative conclusion that it makes economic sense for some retailers to
order less quantity and take the benefits of the permissible delay more frequently. However, he did not consider deteriorating
items and partial backlogging. In this paper, we establish a general EOQ model for deteriorating items when the supplier offers
a permissible delay in payments. For generality, our model allows not only the partial backlogging rate to be related to the
waiting time but also the unit selling price to be larger than the unit purchase cost. Consequently, the proposed model includes
numerous previous models as special cases. In addition, we mathematically prove that the total relevant cost is strictly pseudo-convex
so that the optimal solution exists and is unique. Finally, our computational results reveal six managerial phenomena. 相似文献
6.
In this paper we investigate the optimal supply function for a generator who sells electricity into a wholesale electricity spot market and whose profit function is not smooth. In previous work in this area, the generator’s profit function has usually been assumed to be continuously differentiable. However in some interesting instances, this assumption is not satisfied. These include the case when a generator signs a one-way hedge contract before bidding into the spot market, as well as a situation in which a generator owns several generation units with different marginal costs. To deal with the non-smooth problem, we use the model of Anderson and Philpott, in which the generator’s objective function is formulated as a Stieltjes integral of the generator’s profit function along his supply curve. We establish the form of the optimal supply function when there are one-way contracts and also when the marginal cost is piecewise smooth.We would like to thank two anonymous referees for careful reading of the paper and helpful comments which lead to a significant improvement of this paper. 相似文献
7.
Simanti Bandyopadhyay 《Central European Journal of Operations Research》2010,18(2):153-170
The main objective of the paper is to analyze the impact of environmental regulation on technical efficiencies of Indian cement
producing firms. It derives the technical efficiency (TE) scores of firms in the presence and absence of regulation and brings
out the differences in their magnitudes in two scenarios: one in which the firms take initiatives to comply with the set standards
by investing additional resources for pollution abatement and the other in which the firms do not take the necessary initiatives.
The paper uses establishment level data from Annual Survey of Industries on cement for two years, the most recent data published
for 2003–2004 and a previous year for 1999–2000 when the environmental regulations in India were in the initial phases of
implementation. A non-parametric deterministic method of data envelopment analysis (DEA) is used to derive the TE scores of
firms. The traditional DEA framework is modified by introducing weak disposability of bad outputs to characterize ‘effective
environmental regulation’, which ensures that reducing pollution is not costless. For both years it has been found that the
TE scores of firms under ‘effective regulation’ scenario are either higher than or equal to those derived under ‘ineffective
regulation’ scenario resulting in a higher average TE at the industry level in the ‘effective regulation’ scenario. 相似文献
8.
This paper presents a bilevel fuzzy principal-agent model for optimal nonlinear taxation problems with asymmetric information,
in which the government and the monopolist are the principals, the consumer is their agent. Since the assessment of the government
and the monopolist about the consumer’s taste is subjective, therefore, it is reasonable to characterize this assessment as
a fuzzy variable. What’s more, a bilevel fuzzy optimal nonlinear taxation model is developed with the purpose of maximizing
the expected social welfare and the monopolist’s expected welfare under the incentive feasible mechanism. The equivalent model
for the bilevel fuzzy optimal nonlinear taxation model is presented and Pontryagin maximum principle is adopted to obtain
the necessary conditions of the solutions for the fuzzy optimal nonlinear taxation problems. Finally, one numerical example
is given to illustrate the effectiveness of the proposed model, the results demonstrate that the consumer’s purchased quantity
not only relates with the consumer’s taste, but also depends on the structure of the social welfare. 相似文献
9.
Value iteration and optimization of multiclass queueing networks 总被引:2,自引:0,他引:2
This paper considers in parallel the scheduling problem for multiclass queueing networks, and optimization of Markov decision
processes. It is shown that the value iteration algorithm may perform poorly when the algorithm is not initialized properly.
The most typical case where the initial value function is taken to be zero may be a particularly bad choice. In contrast,
if the value iteration algorithm is initialized with a stochastic Lyapunov function, then the following hold: (i) a stochastic
Lyapunov function exists for each intermediate policy, and hence each policy is regular (a strong stability condition), (ii)
intermediate costs converge to the optimal cost, and (iii) any limiting policy is average cost optimal. It is argued that
a natural choice for the initial value function is the value function for the associated deterministic control problem based
upon a fluid model, or the approximate solution to Poisson’s equation obtained from the LP of Kumar and Meyn. Numerical studies
show that either choice may lead to fast convergence to an optimal policy.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
10.
T. B. Boffey 《TOP》1998,6(2):205-221
In recent years, interest has been shown in the optimal location of ‘extensive’ facilities in a network. Two such problems—the
Maximal Direct and Indirect Covering Tree problems—were introduced by Hutson and ReVelle. Previous solution techniques are
extended to provide an efficient algorithm for the Indirect Covering Tree problem and the generalization in which demand covered
is attenuated by distance. It is also shown that the corresponding problem is NP-hard when the underlying network is not a
tree. 相似文献
11.
We consider a two-scaled diffusion system, when drift and diffusion parameters of the ‘slow’ component are contaminated by
the ‘fast’ unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient
of the ‘slow’ component w.r.t. the stationary distribution of the ‘fast’ one. We apply a locally linear smoother with a data-driven
bandwidth choice. The procedure is fully adaptive and nearly optimal up to a log log factor.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
12.
In this paper, we study the optimal policies of retailers who operate their inventory with a single period model (i.e., newsvendor model) under a free shipping offer where a fixed shipping fee is exempted if an order quantity is greater than or equal to a given minimum quantity. Zhou et al. (2009) have explored this model, and we further investigate their analysis for the optimal ordering policies which they did not sufficiently develop. Based on the investigation, we extend the base model in order to deal with the practically important aspect of inventory management when the exact distribution function of demand is not available. We incorporate the aspect into the base model and present the optimal policies for the extended model with a numerical example. Finally, we conduct extensive numerical experiments to evaluate the performance of the extended model and analyze the impacts of minimum free shipping quantity and the fixed shipping fee on the performance. 相似文献
13.
A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave
strictly increasing functions defined on the whole real line. Under suitable conditions we prove that, whenever their absolute
risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to
the superreplication price. We also prove that there exists an accumulation point of the optimal strategies’ sequence which
is a superhedging strategy. 相似文献
14.
15.
In bilevel optimization problems there are two decision makers, the leader and the follower, who act in a hierarchy. Each
decision maker has his own objective function, but there are common constraints. This paper deals with bilevel assignment
problems where each decision maker controls a subset of edges and each edge has a leader’s and a follower’s weight. The edges
selected by the leader and by the follower need to form a perfect matching. The task is to determine which edges the leader
should choose such that his objective value which depends on the follower’s optimal reaction is maximized. We consider sum-
and bottleneck objective functions for the leader and follower. Moreover, if not all optimal reactions of the follower lead
to the same leader’s objective value, then the follower either chooses an optimal reaction which is best (optimistic rule)
or worst (pessimistic rule) for the leader. We show that all the variants arising if the leader’s and follower’s objective
functions are sum or bottleneck functions are NP-hard if the pessimistic rule is applied. In case of the optimistic rule the problem is shown to be NP-hard if at least one of the decision makers has a sum objective function. 相似文献
16.
This paper presents an extended inventory model of Huang (J. Oper. Res. Soc. 54, 1011–1015, 2003), which investigated the retailer’s optimal inventory policy under two levels of trade credit. Herein, we consider the impact
of a replenishment policy on the timing of the cash flows associated with payments to suppliers and revenue streams from customers.
That is, the same cash amount will possess different money value at different future time. To see this, we adopt the more
appropriate net present value (NPV) object instead of the average cost objective. In addition, the deteriorating effects will
be incorporated in this inventory model, and the time to deterioration of each item follows an exponential distribution. The
discounted cash flow (DCF) approach is used to derive the optimal solution in this study. Furthermore, we first show that
the optimal solution not only exists bus also is unique. Then, we provide a theorem to locate the optimal ordering policy.
Finally, a numerical example for illustration is provided. 相似文献
17.
Static portfolio choice under Cumulative Prospect Theory 总被引:3,自引:0,他引:3
We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory (CPT). The study
is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal
wealth arising when the entire initial wealth is invested into the risk-free asset. When it exists, the optimal holding is
a function of a generalized Omega measure of the distribution of the excess return on the risky asset over the risk-free rate. It conceptually resembles Merton’s optimal
holding for a CRRA expected-utility maximizer. We derive some properties of the optimal holding and illustrate our results
using a simple example where the excess return has a skew-normal distribution. In particular, we show how a CPT investor is
highly sensitive to the skewness of the excess return on the risky asset. In the model we adopt, with a piecewise-power value function with different shape
parameters, loss aversion might be violated for reasons that are now well-understood in the literature. Nevertheless, we argue
that this violation is acceptable. 相似文献
18.
Energy management in buildings is addressed in this paper. The energetic impact of buildings in the current energetic context
is first depicted. Then the studied optimization problem is defined as the optimal management of production and consumption
activities in houses. A scheduling problem is identified to adjust the energy consumption to both the energy cost and the
inhabitant’s comfort. The available flexibilities of the services provided by domestic appliances are used to compute optimal
energy plans. These flexibilities are associated to time windows or heating storage abilities. A constraints formulation of
the energy allocation problem is given. A derived mixed linear program is used to solve this problem. The energy consumption
in houses is very dependent to uncertain data such as weather forecasts and inhabitants’ activities. Parametric uncertainties
are introduced in the home energy management problem in order to provide robust energy allocation. Robust linear programming
is implemented. Event related uncertainties are also addressed through stochastic programming in order to take into account
the inhabitant’s activities. A scenario based approach is implemented to face this robust optimization problem. 相似文献
19.
K. Gelashvili 《Journal of Mathematical Sciences》2011,177(3):373-382
The problem of existence of an optimal control is solved on the basis of Weierstrass’s classical theorem if the set of admissible
controls belongs to the class of piecewise continuous functions. In the process of describing admissible controls, the main
assumption is that the number of switchings (points of discontinuity) is uniformly bounded and not just finite, as in the
main problem of optimal control theory. On the one hand, this assumption does not restrict the spectrum of optimal control
applications. On the other hand, it fits the Weierstrass’s theorem owing to the convenience in characterizing the sequential
compactness. The formulation of Weierstrass’s theorem, which asserts the existence of continuous function extrema on sequentially
compact sets, is customary, and its proof complies with the traditional scheme, whereas the concepts (convergent sequences
and some others) are adapted to the peculiarity of optimal problems. 相似文献
20.
M. Köppe M. Queyranne C. T. Ryan 《Journal of Optimization Theory and Applications》2010,146(1):137-150
We consider discrete bilevel optimization problems where the follower solves an integer program with a fixed number of variables.
Using recent results in parametric integer programming, we present polynomial time algorithms for pure and mixed integer bilevel
problems. For the mixed integer case where the leader’s variables are continuous, our algorithm also detects whether the infimum
cost fails to be attained, a difficulty that has been identified but not directly addressed in the literature. In this case,
it yields a “better than fully polynomial time” approximation scheme with running time polynomial in the logarithm of the
absolute precision. For the pure integer case where the leader’s variables are integer, and hence optimal solutions are guaranteed
to exist, we present an algorithm which runs in polynomial time when the total number of variables is fixed. 相似文献