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Full-Text Articles in Business
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 …
Real-Time Bidding Campaigns Optimization Using User Profile Settings, Luis Miralles-Pechuán, Muhammad Atif Qureshi, Brian Mac Namee
Real-Time Bidding Campaigns Optimization Using User Profile Settings, Luis Miralles-Pechuán, Muhammad Atif Qureshi, Brian Mac Namee
Articles
Real-time bidding is nowadays one of the most promising systems in the online advertising ecosystem. In this study, the performance of RTB campaigns is improved by optimising the parameters of the users' profiles and the publishers' websites. Most studies concerning optimising RTB campaigns are focused on the bidding strategy, i.e., estimating the best value for each bid. However, this research focuses on optimising RTB campaigns by finding out configurations that maximise both the number of impressions and the average profitability of the visits. An online campaign configuration generally consists of a set of parameters along with their values such as …
A Dynamic Programming Approach To Achieving An Optimal End State Along A Serial Production Line, Shih-Fen Cheng, Blake E. Nicholson, Marina A. Epelman, Daniel J. Reaume, Robert L. Smith
A Dynamic Programming Approach To Achieving An Optimal End State Along A Serial Production Line, Shih-Fen Cheng, Blake E. Nicholson, Marina A. Epelman, Daniel J. Reaume, Robert L. Smith
Research Collection School Of Computing and Information Systems
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 …
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 …
Dynamic Allocation Of Airline Check-In Counters: A Queueing Optimisation Approach, Mahmut Parlar, Sharafali Moosa
Dynamic Allocation Of Airline Check-In Counters: A Queueing Optimisation Approach, Mahmut Parlar, Sharafali Moosa
Research Collection Lee Kong Chian School Of Business
This paper was motivated by an observation in an international airport with regard to allocation of resources for check-in counters. In an exclusive check-in counter system, each flight has a dedicated number of counters that will be open until at least a half-hour before the scheduled departure of that flight. Currently, in many of the airports around the world, the decision to open or close check-in counters is done on an ad hoc basis by human schedulers. In doing so, the schedulers are almost always forced to perform a balancing act in meeting the quality of service stipulated by the …
Optimal Sequential Exploration: A Binary Learning Model, J. Eric Bickel, James E. Smith
Optimal Sequential Exploration: A Binary Learning Model, J. Eric Bickel, James E. Smith
Eric Bickel
In this paper, we develop a practical and flexible framework for evaluating sequential exploration strategies in the case where the exploration prospects are dependent. Our interest in this problem was motivated by an oil exploration problem, and our approach begins with marginal assessments for each prospect (e.g., what is the probability that the well is wet?) and pairwise assessments of the dependence between prospects (e.g., what is the probability that both wells i and j are wet?). We then use information-theoretic methods to construct a full joint distribution for all outcomes from these marginal and pairwise assessments. This joint distribution …
Deterministic Approximations To Co-Production Problems With Service Constraints And Random Yields, Gabriel R. Bitran, Thin Yin Leong
Deterministic Approximations To Co-Production Problems With Service Constraints And Random Yields, Gabriel R. Bitran, Thin Yin Leong
Research Collection School Of Computing and Information Systems
Production planning problems where multiple item categories are produced simultaneously are examined. The items have random yields and are used to satisfy the demands of many products. These products have specification requirements that overlap. An item originally targeted to satisfy the demand of one product may be used to satisfy the demand of other products when it conforms to their specifications. Customers' demand must be satisfied from inventory. The problem is formulated with service constraints and a near-optimal solution is provided to the problem with a fixed planning horizon. Simple heuristics are proposed for the problem solved with a rolling …