It is well known that stochastic control systems can be viewed as Markov decision processes (MDPs) with continuous state spaces. In this paper, we propose to apply the policy iter...
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on t...
The method of conjugate gradients provides a very effective way to optimize large, deterministic systems by gradient descent. In its standard form, however, it is not amenable to ...
In this paper, we introduce a new technique for modeling and solving the dynamic power management (DPM) problem for systems with complex behavioral characteristics such as concurr...
Global optimization can be used as the main component for reliable decision support systems. In this contribution, we explore numerical solution techniques for nonconvex and nondi...