We consider a class of multistage stochastic linear programs in which at each stage a coherent risk measure of future costs is to be minimized. A general computational approach based on dynamic programming is derived that can be shown to converge to an optimal policy. By computing an inner approximation to future cost functions, we can evaluate an upper bound on the cost of an optimal policy, a...

We consider the problem of finding a route that minimises the expected sailing time between two points on the ocean under uncertain weather conditions. This has applications in long distance offshore yacht racing. The uncertainty in the weather is modelled by a branching scenario tree that captures the serial correlation inherent in the evolution of weather systems over time. The stochastic sol...

In this study, we formulate a stochastic dynamic framework for pest control over the growing season taking into account forecasts of weather conditions and pest infestation expectations. Using stochastic envelope theorem and stochastic comparative dynamics, we analytically show how the stochastic correlation between the prediction errors should affect optimal pesticide usage path. As a case stu...

one major branch in mathematical sciences, which recently has been given especial attention, is optimization, including various methods such as linear programming, integer programming, and dynamic programming. due to the unique characteristics of air treatment systems, specifically multistage nature of such systems, dynamic programming has been widely applied. the purpose of this paper is to fi...

We present a new method of determining an operating policy for a multi-reservoir system in which the operating policy for a reservoir is determined by solving a stochastic dynamic programming model consisting of that reservoir and a 2-dimensional representation of the rest of the system. The method is practical for systems with many reservoirs because the time required to determine an operating...

In this paper, the problem of exploring stochastic graphs is addressed. The definition of the entropy related to the a-priori unknown parameters (the lengths of the a-priori unknown links) leads to the formulation of the problem as a stochastic optimal control one. The application of exact Dynamic Programming suffers the so-called curse of dimensionality. To overcome this drawback, an approxima...

To make paper, machines spray wet pulp on a moving screen and extract the water from it by squeezing it between rollers, before drying it using heat and rolling it on reels as finished product. The water extracted in the squeezing process is removed by a continuous roll of fabric called a felt. There are typically three felts on a paper machine. Felts wear out over time, and therefore must be r...

Retailers, from fashion stores to grocery stores, have to decide what range of products to offer (assortment planning) and what prices to charge (price optimization). New business trends, such as mass customization and shorter product life cycles, make predicting demand more difficult, which in turn complicates assortment planning and price optimization. We propose and study a stochastic dynami...

Ramsey model belongs to “classical” economic dynamic models. It has been (1928) originally constructed (with a farmer’s interpretation) in a deterministic discrete setting. To solve it Lagrangean or dynamic programming techniques can be employed. Later, this model has been generalized to a stochastic version. Time horizon in the original deterministic model as well as in modified stochastic one...