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A computational method for stochasti...

Feng, Haolin.

A computational method for stochastic impulse control problems .

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
書名/作者:	A computational method for stochastic impulse control problems .
作者:	Feng, Haolin.
面頁冊數:	60 p.
附註:	Source: Dissertation Abstracts International, Volume: 70-10, Section: B, page: 6473.
Contained By:	Dissertation Abstracts International70-10B.
標題:	Engineering, Industrial.
標題:	Operations Research.
ISBN:	9781109429282
摘要、提要註:	Stochastic control refers to the optimal control of systems subject to randomness. Impulse and singular controls are those that can instantaneously change the system state as opposed to the more common controls that change the rate of change of state. When the cost of control has a fixed component it is usually optimal to affect instantaneous changes that cause discontinuity in state evolution. Examples of impulse controls are abundant in several diverse areas that include finance, operations management and economics.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3378739

A computational method for stochastic impulse control problems .
Feng, Haolin.

A computational method for stochastic impulse control problems . - 60 p.

Source: Dissertation Abstracts International, Volume: 70-10, Section: B, page: 6473.

Thesis (Ph.D.)--Purdue University, 2009.

Stochastic control refers to the optimal control of systems subject to randomness. Impulse and singular controls are those that can instantaneously change the system state as opposed to the more common controls that change the rate of change of state. When the cost of control has a fixed component it is usually optimal to affect instantaneous changes that cause discontinuity in state evolution. Examples of impulse controls are abundant in several diverse areas that include finance, operations management and economics.

ISBN: 9781109429282Subjects--Topical Terms:

423093
Engineering, Industrial.

A computational method for stochastic impulse control problems .
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020 $a 9781109429282
035 $a (UMI)AAI3378739
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040 $a UMI $c UMI
100 1 $a Feng, Haolin. $3 423505
245 1 2 $a A computational method for stochastic impulse control problems .
300 $a 60 p.
500 $a Source: Dissertation Abstracts International, Volume: 70-10, Section: B, page: 6473.
500 $a Advisers: Hong Wan; Muthukumar Muthuraman.
502 $a Thesis (Ph.D.)--Purdue University, 2009.
520 $a Stochastic control refers to the optimal control of systems subject to randomness. Impulse and singular controls are those that can instantaneously change the system state as opposed to the more common controls that change the rate of change of state. When the cost of control has a fixed component it is usually optimal to affect instantaneous changes that cause discontinuity in state evolution. Examples of impulse controls are abundant in several diverse areas that include finance, operations management and economics.
520 $a Stochastic impulse control problems are usually solved by converting them to differential equation problems using dynamic programming arguments. In all but the simplest of cases, the resulting differential equations for impulse control problems cannot be solved analytically. They are relatively harder to solve since they have free boundaries, which are unknown boundaries that need to be determined as part of the solution.
520 $a In this dissertation, we construct a transformation scheme that transforms the arising free boundary problem to a sequence of fixed-boundary problems that are easy to solve. We show that the arising sequence has monotonically improved solutions and that the sequence of solutions converge to the optimal solution. We also provide an epsilon-optimality result that establishes a bound on the difference from the optimal value function for any terminated iteration. Applications in finance and operations management are illustrated.
590 $a School code: 0183.
650 4 $a Engineering, Industrial. $3 423093
650 4 $a Operations Research. $3 423094
690 $a 0546
690 $a 0796
710 2 $a Purdue University. $b Industrial Engineering. $3 423506
773 0 $t Dissertation Abstracts International $g 70-10B.
790 1 0 $a Wan, Hong, $e advisor
790 1 0 $a Muthuraman, Muthukumar, $e advisor
790 1 0 $a Schmeiser, Bruce W. $e committee member
790 1 0 $a Lawley, Mark A. $e committee member
790 $a 0183
791 $a Ph.D.
792 $a 2009
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3378739

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