Durham, NC 27708-0120
United States
Duke University - Decision Sciences
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Representation of choice, risk measures, aspiration levels, decision theory paradoxes
Dynamic Pricing, Resource Relocation, Hub-and-Spoke Networks, Lagrangian Relaxations, Asymptotic Optimality
Weakly coupled stochastic dynamic programs, approximate dynamic programming, Lagrangian relaxations, restless bandits, network revenue management
sequential search, approximation algorithms, Lagrangian relaxations.
Weakly coupled stochastic dynamic programs, Lagrangian relaxations, approximate dynamic programming, capital budgeting, inventory control.
weakly coupled stochastic dynamic programs, fluid relaxations, restless bandits, asymptotic optimality
Portfolio Choice, Liquidity, Distressed Liquidation, Deleveraging
Energy, weakly coupled stochastic dynamic programs, unit commitment problems
satisficing, aspiration levels, risk measures, coherent risk measures, convex risk measures, targets, portfolio optimization