Conditional Risk Mappings

We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings. Citation Preprint Article Download View Conditional Risk Mappings

Scheduling a sequence of tasks with general completion costs

Scheduling a sequence of tasks – in the acceptation of finding the execution times – is not a trivial problem when the optimization criterion is irregular as for instance in earliness-tardiness problems. This paper presents an efficient Dynamic Programming algorithm to solve the problem with general cost functions depending on the end time of the … Read more

A Remarkable Property of the Dynamic Optimization Extremals

A dynamic optimization continuous problem poses the question of what is the optimal magnitude of a choice variable, at each point of time, in a given interval. To tackle such problems, three major approaches are available: dynamic programming; the calculus of variations; and the powerful optimal control approach. At the core of optimal control theory … Read more

Multiscale Concepts for Moving Horizon Optimization

In chemical engineering complex dynamic optimization problems formulated on moving horizons have to be solved on-line. In this work, we present a multiscale approach based on wavelets where a hierarchy of successively, adaptively refined problems are constructed.They are solved in the framework of nested iteration as long as the real-time restrictions are fulfilled. To avoid … Read more