Stochastic Dynamic Programming
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Recent papers in Stochastic Dynamic Programming
Water quantity and quality are considered to be the main driving forces of the reservoir operation. Barra Bonita reservoir, located in the southeast region of Brazil, is chosen as the case study for the application of the proposed... more
Abstract. Invariance is a necessary feature of a visual system able to recognize real objects in all their possible appearance. It is also the processing step most problematic to understand in biological systems, and most difficult to... more
We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood as the probability of investors not attaining their goals, not just the standard deviation of investors' portfolios. Our framework is based... more
"Dynamic Programming may be viewed as a general method aimed at solving multistage optimization problems. Probabilistic or Stochastic Dynamic Programming (SDP) may be viewed similarly, but aiming to solve stochastic multistage... more
This is a revised (and formally published) version of the book: "Probabilistic Dynamic Programming" already published at academia.edu
In this study, an algorithm combining a water quality simulation model and a deterministic/stochastic conflict resolution technique is developed for determining optimal reservoir operating rules. As different decision makers and... more
This paper presents a Genetic Algorithm (GA) model for finding the optimal operating policy of a multi-purpose reservoir, located on the river Pagladia, a major tributary of the river Brahmaputra. A synthetic monthly streamflow series of... more
Adaptive management has a long history in natural resource management literature, but despite this few practitioners have developed adaptive strategies to conserve threatened species. Active adaptive management provides a framework for... more
This paper presents a market-reactive optimization approach to solve, on-line, the airline Revenue Management problem. The recursive demand forecasting method proposed, which makes use of geometric programming is described and the... more
Pests are among the major causes of postharvest loss in grain storage. Experts in storage management propose the use of a combination of preventive and monitoring-based responsive strategies to control pests. In this dissertation,... more
This paper presents an inflow-forecasting model and a Piecewise Stochastic Dynamic Programming model (PSDP) to investigate the value of the Quantitative Precipitation Forecasts (QPFs) comprehensively. Recently medium-range quantitative... more
Increasing water demands, higher standards of living, depletion of resources of acceptable quality and excessive water pollution due to agricultural and industrial expansions have caused intense social and political predicaments, and... more
The yield management (YM) problem considers the task of maximizing a company's revenue. For the competitive airline industry, profit margins depend on a good YM policy. Research on airline YM is abundant but still limited to... more
Stochastic Dynamic Programming (SDP) is the method most extensively adopted to design release policies for water reservoir networks. However, it suffers of the well known "curse of dimensionality", which actually limits its applicability... more