In a classic Markov decision problem of Derman, Lieberman, and Ross (1975) an investor has an initial capital x from which to make investments, the opportunities for which occur randomly over time. An investment of size y results in profit P (y), and the aim is maximize the sum of the profits obtained within a given time t. The problem is similar to a groundwater management problem of Burt (196...

This paper applies real options theory to establish an overseas oil investment evaluation model that is based on Monte Carlo simulation and is solved by the Least Squares Monte-Carlo method. To better reflect the reality of overseas oil investment, our model has incorporated not only the uncertainties of oil price and investment cost but also the uncertainties of exchange rate and investment en...

The problem of resource-constrained scheduling of testing tasks for new product development is addressed. The problem is important because, in some industries like pharmaceutical and agrochemicals, a new product is required to pass all the tests by federal laws. If a product fails any of the tests, then all the remaining work on that product is halted and the investment in the previous tests is...

In service oriented systems, Quality of Service (QoS) is a service selection driver. Users evaluate QoS at run time to address their service invocation to the most suitable provider. Thus, QoS has a direct impact on providers' revenues. However, QoS requirements are difficult to satisfy because of the high variability of Internet workloads. Workload variability cannot be accommodated with tradi...

The study of memory for event duration in pigeons has, for the most part, centered on an unusual behavioral phenomenon and an interesting theoretical explanation for it. A typical experiment on memory for event duration involves trials initiated by a sample stimulus that is either short or long in duration (e.g., 2 vs. 10 sec of houselight) and that is later followed by the simultaneous present...

This paper considers firms’ incentives to invest in local and flexible resources when demand is uncertain and correlated. I find that market power of the monopolist providing flexible resources leads to underinvestment in the flexible resource and overinvestment in the local resource. Moreover, investment responds to demand correlation differently under monopoly and social optimum. This implies...

We examine how time-consuming resource accumulation influences the classic strategy trade-off between commitment and flexibility. In particular, using 1975–95 data from the worldwide petrochemical industry, we study the impact of new plants’ time-to-build on firms’ decisions to invest under uncertainty. Our results suggest a nontrivial positive effect of resource accumulation lags on investment...

The resource-constrained project scheduling problem is to find a schedule that minimizes the project duration subject to precedence relations and resource constraints. To further account for economic aspects of the project, one may add an objective of cash nature to the problem. In addition, dynamic nature and variations in real world are known to introduce uncertainties into data. Therefore, t...

We review the issues involved in designing a mechanism for allocating resource rights. We focus on the case of exploration and development rights for oil and gas leases in U.S. federal lands to highlight the tradeoffs at play. The main issues concern the design of the lease contract, the design of the auction, and the supply of leases. A distinguishing feature of oil and gas leases is that the ...

6 7 This paper develops a model of a profit maximizing firm with the option to exploit 8 a non-renewable resource, choosing the timing and pace of development. The resource 9 price is modelled as a regime switching process, which is calibrated to oil futures prices. 10 A Hamilton-Jacobi-Bellman equation is specified that describes the profit maximiza11 tion decision of the firm. The model is ap...