Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold.

Maria B. Chiarolla Ulrich G. Haussmann

Published in: Math. Oper. Res. (2005)

Keyphrases

stochastic programming
learning automaton
real time
data sets
optimal solution
closed form
optimization method
decision making
search algorithm
state space
monte carlo
linear equations
stochastic process
stochastic optimization
adaptive threshold