Dynamic Optimization in Management

点击翻译按钮获取中文摘要

The objective of this research program is to develop mathematical models and efficient algorithms to solve practical decision-making problems that are dynamic in nature and that involve uncertainty. Two specific areas of application will be considered: investment decisions in financial markets, and the management of environmental and natural resources. Although these application areas are very different, they share a common methodological approach, that is, stochastic dynamic optimization in a multidimensional framework. In both cases, the solution of realistic problems requires the development of efficient numerical methods. Thus, in addition to addressing these specific issues, a broader objective of this research program is to develop innovative methods for the numerical solution of large-scale stochastic dynamic problems, and to contribute to the advancement of knowledge in the field of decision-making under uncertainty.