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Full-Text Articles in Operations Research, Systems Engineering and Industrial Engineering
Application Of A Polynomial Affine Method In Dynamic Portfolio Choice, Yichen Zhu
Application Of A Polynomial Affine Method In Dynamic Portfolio Choice, Yichen Zhu
Electronic Thesis and Dissertation Repository
This thesis develops numerical approaches to attain optimal multi-period portfolio strategies in the context of advanced stochastic models within expected utility and mean-variance theories. Unlike common buy-and-hold portfolio strategies, dynamic asset allocation reflects the investment philosophy of a portfolio manager that benefits from the most recent market conditions to rebalance the portfolio accordingly. This enables managers to capture fleeting opportunities in the markets thereby enhancing the portfolio performance. However, the solvability of the dynamic asset allocation problem is often non-analytical, especially when considering a high-dimensional portfolio with advanced models mimicking practical asset's return. To overcome this issue, this thesis presents …
Improving Air Battle Management Target Assignment Processes Via Approximate Dynamic Programming, Joseph M. Liles Iv
Improving Air Battle Management Target Assignment Processes Via Approximate Dynamic Programming, Joseph M. Liles Iv
Theses and Dissertations
Military air battle managers face many challenges when directing operations in quickly evolving combat scenarios. These scenarios require rapid decisions to engage moving and unpredictable targets. In defensive operations, the success of a sequence of air battle management decisions is reflected by the friendly force's ability to maintain air superiority by defending friendly assets. We develop a Markov decision process (MDP) model of the air battle management (ABM)problem, wherein a set of unmanned combat aerial vehicles (UCAV) is tasked to defend a central asset from cruise missiles that arrive stochastically over time.
Real-Time Heuristics And Metaheuristics For Static And Dynamic Weapon Target Assignments, Alexander G. Kline
Real-Time Heuristics And Metaheuristics For Static And Dynamic Weapon Target Assignments, Alexander G. Kline
Theses and Dissertations
The problem of targeting and engaging individual missiles (targets) with an arsenal of interceptors (weapons) is known as the weapon target assignment problem. This problem has been well-researched since the seminal work in 1958. There are two distinct categories of the weapon target assignment problem: static and dynamic. The static weapon target assignment problem considers a single instance in which a known number of incoming missiles is to be engaged with a finite number of interceptors. By contrast, the dynamic weapon target assignment problem considers either follow on engagement(s) should the first engagement(s) fail, a subsequent salvo of incoming missiles, …
A Dynamic Programming Approach To Achieving An Optimal End State Along A Serial Production Line, Shih-Fen Cheng, Blake Nicholson, Marina A. Epelman, Daniel Reaume, Robert L. Smith
A Dynamic Programming Approach To Achieving An Optimal End State Along A Serial Production Line, Shih-Fen Cheng, Blake Nicholson, Marina A. Epelman, Daniel Reaume, Robert L. Smith
Shih-Fen CHENG
In modern production systems, it is critical to perform maintenance, calibration, installation, and upgrade tasks during planned downtime. Otherwise, the systems become unreliable and new product introductions are delayed. For reasons of safety, testing, and access, task performance often requires the vicinity of impacted equipment to be left in a specific “end state” when production halts. Therefore, planning the shutdown of a production system to balance production goals against enabling non-production tasks yields a challenging optimization problem. In this paper, we propose a mathematical formulation of this problem and a dynamic programming approach that efficiently finds optimal shutdown policies for …
The Multiobjective Average Network Flow Problem: Formulations, Algorithms, Heuristics, And Complexity, Jeremy D. Jordan
The Multiobjective Average Network Flow Problem: Formulations, Algorithms, Heuristics, And Complexity, Jeremy D. Jordan
Theses and Dissertations
Integrating value focused thinking with the shortest path problem results in a unique formulation called the multiobjective average shortest path problem. We prove this is NP-complete for general graphs. For directed acyclic graphs, an efficient algorithm and even faster heuristic are proposed. While the worst case error of the heuristic is proven unbounded, its average performance on random graphs is within 3% of the optimal solution. Additionally, a special case of the more general biobjective average shortest path problem is given, allowing tradeoffs between decreases in arc set cardinality and increases in multiobjective value; the algorithm to solve the average …
A Flowshop Scheduling Problem With Transportation Times And Capacity Constraints, Abraham Mendoza, Jose A. Ventura, Kwei Long Huang
A Flowshop Scheduling Problem With Transportation Times And Capacity Constraints, Abraham Mendoza, Jose A. Ventura, Kwei Long Huang
11th IMHRC Proceedings (Milwaukee, Wisconsin. USA – 2010)
Although there are numerous methodologies and research studies on machine scheduling, most of the literature assumes that there is an unlimited number of transporters to deliver jobs from one machine to another for further processing and that transportation times can be neglected. These two assumptions are not applicable if one intends to generate an accurate schedule for the shop floor. In this research, a flowshop scheduling problem with two machines, denoted as M1 and M2, and a single transporter with capacity c is considered. The main focus is on the development of a dynamic programming algorithm to generate a schedule …
The Optimization Of The Threshold For The Preventive Maintenance Actions In A Condition-Based Maintenance Program Via Dynamic Programming Approach, Kamran Shahanaghi, Mehdi Jafarian, Majid Beikverdi, Zeinab Nezhadbiglari
The Optimization Of The Threshold For The Preventive Maintenance Actions In A Condition-Based Maintenance Program Via Dynamic Programming Approach, Kamran Shahanaghi, Mehdi Jafarian, Majid Beikverdi, Zeinab Nezhadbiglari
Mehdi Jafarian
The last step of a condition based maintenance (CBM) program is maintenance decision-making. This step is the most important and the most critical stage of maintenance for executive personnel and management whom work on taking maintenance actions. This decision making would be done according to certain criteria such as risk, cost, reliability and availability. This paper considered a dynamic programming model to optimization of the threshold for the preventive maintenance actions in a condition-based maintenance program. The basis of this modeling is the average cost of maintenance actions, failures and exchanges. In this paper, we improved the memory of the …
The Optimization Of The Threshold For The Preventive Maintenance Actions In A Condition-Based Maintenance Program Via Dynamic Programming Approach, Mehdi Jafarian, Majid Beikverdi, Kamran Shahanaghi, Zeinab Nezhadbiglari
The Optimization Of The Threshold For The Preventive Maintenance Actions In A Condition-Based Maintenance Program Via Dynamic Programming Approach, Mehdi Jafarian, Majid Beikverdi, Kamran Shahanaghi, Zeinab Nezhadbiglari
Mehdi Jafarian
The last step of a condition based maintenance (CBM) program is maintenance decision-making. This step is the most important and the most critical stage of maintenance for executive personnel and management whom work on taking maintenance actions. This decision making would be done according to certain criteria such as risk, cost, reliability and availability. This paper considered a dynamic programming model to optimization of the threshold for the preventive maintenance actions in a condition-based maintenance program. The basis of this modeling is the average cost of maintenance actions, failures and exchanges. In this paper, we improved the memory of the …