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Risk objectives in two-stage stochastic programming models

Jitka Dupačová (2008)

Kybernetika

In applications of stochastic programming, optimization of the expected outcome need not be an acceptable goal. This has been the reason for recent proposals aiming at construction and optimization of more complicated nonlinear risk objectives. We will survey various approaches to risk quantification and optimization mainly in the framework of static and two-stage stochastic programs and comment on their properties. It turns out that polyhedral risk functionals introduced in Eichorn and Römisch...

Solving multi-agent scheduling problems on parallel machines with a global objective function

F. Sadi, A. Soukhal, J.-C. Billaut (2014)

RAIRO - Operations Research - Recherche Opérationnelle

In this study, we consider a scheduling environment with m(m ≥ 1) parallel machines. The set of jobs to schedule is divided into K disjoint subsets. Each subset of jobs is associated with one agent. The K agents compete to perform their jobs on common resources. The objective is to find a schedule that minimizes a global objective function f0, while maintaining the regular objective function of each agent, fk, at a level no greater than a fixed value, εk (fk ∈ {fkmax, ∑fk}, k = 0, ..., K). This...

Some ideas for comparison of Bellman chains

Laurent Truffet (2003)

Kybernetika

In this paper we are exploiting some similarities between Markov and Bellman processes and we introduce the main concepts of the paper: comparison of performance measures, and monotonicity of Bellman chains. These concepts are used to establish the main result of this paper dealing with comparison of Bellman chains.

Stochastic dynamic programming with random disturbances

Regina Hildenbrandt (2003)

Discussiones Mathematicae Probability and Statistics

Several peculiarities of stochastic dynamic programming problems where random vectors are observed before the decision ismade at each stage are discussed in the first part of this paper. Surrogate problems are given for such problems with distance properties (for instance, transportation problems) in the second part.

Uniform value in dynamic programming

Jérôme Renault (2011)

Journal of the European Mathematical Society

We consider dynamic programming problems with a large time horizon, and give sufficient conditions for the existence of the uniform value. As a consequence, we obtain an existence result when the state space is precompact, payoffs are uniformly continuous and the transition correspondence is non expansive. In the same spirit, we give an existence result for the limit value. We also apply our results to Markov decision processes and obtain a few generalizations of existing results.

Utilisation de la programmation dynamique dans la modélisation de la pêcherie de la sardine au Maroc

Mohammed Abbad, Ghali M. Abdallaoui, Ghizlane Benomar (2004)

RAIRO - Operations Research - Recherche Opérationnelle

In this paper we use the dynamic programming approach to model the Moroccan sardine fishery system. We show how the elements of the dynamic programming method such as steps, states and actions are used. The proposed model determines the harvest quantity of sardine in each fishing season in order to maximize the total yield over some definite periods. Some numerical tests of the model, in the deterministic case, are presented and their results show that the approach used is promising. Besides determining...

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