We present a new random search method for solving simulation optimization problems. Our approach emphasizes the need for maintaining the right balance between exploration and expl...
Direct policy search is a practical way to solve reinforcement learning problems involving continuous state and action spaces. The goal becomes finding policy parameters that maxi...
In this paper, we introduce a deterministic fluid model and two stochastic traffic models for wireless networks. The setting is a highway with multiple entrances and exits. Vehicl...
Abstract- This paper explores valuing long-term equity forwardcontracts or futures where both the underlying volatility and the interest rates are modeled as stochastic random vari...
A new stochastic optimization algorithm referred to by the authors as the `Mean-Variance Optimization' (MVO) algorithm is presented in this paper. MVO falls into the category ...
Istvan Erlich, Ganesh K. Venayagamoorthy, Nakawiro...