Materials Warren B. Powell; Approximate Dynamic Programming: Solving the Courses of Dimensionality; John Wiley & Sons, 2007. [topics 5 and 6 not in the textbook] prerequisites Basic knowledge of ...

This paper considers a particular class of dynamic robust optimization problems, where a large number of decisions must be made in the first stage, which consequently fix the constraints and cost ...

The valuation of the real option to store natural gas is a practically important problem that entails dynamic optimization of inventory trading decisions with capacity constraints in the face of ...