Dynamic Optimization in Management

管理动态优化

• 批准号: RGPIN-2015-06402
• 负责人: Breton, Michèle
• 金额: $ 2.04万
• 依托单位: HEC Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=636671
• 关键词: Dynamic; Optimization; Management

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.

本研究计划的目标是开发数学模型和有效的算法来解决实际决策问题，这些问题本质上是动态的，涉及不确定性。将考虑两个具体的应用领域：金融市场的投资决策以及环境和自然资源的管理。虽然这些应用领域有很大的不同，但它们有一个共同的方法方法，即多维框架中的随机动态优化。在这两种情况下，解决实际问题都需要发展有效的数值方法。因此，除了解决这些具体问题外，本研究计划的更广泛目标是为大规模随机动态问题的数值解开发创新方法，并为不确定性下决策领域的知识进步做出贡献。