Applications in optimization and investment lag problem

摘要: This thesis studies two optimization problems: the of a staffingpolicy assuming non stationary Poisson demand, and exponential travel jobtimes, investment decisions with an lag.In staffing policy optimization, we solve novel time-dynamic Hamilton-Jacobi-Bellman equation that models jobs as jump process. The modelgives employer flexibility to control number staff hired by factors:the cost hiring effect delay.We have solved optimal problem using different approaches,which are compared. We produce accurate numerical results for parameters,and discuss advantages disadvantages each approach. Moreover,we national utility company, standardlinear programming approach, which is compared our methods. Inaddition process, extend model treat continuousjob model, locations extendible larger network problem.In lag problem, use mixture methods includingfinite difference body fitted co-ordinates form robust stablenumerical scheme applied geometricBrownian motion presented in paper Bar-Ilan Strange (1996).The calculate price invest project havea time period between decision production, optimalprice mothball project. method this moreflexible compare it previous results, solves fordifferent stochastic processes, such Cox-Ingersoll-Ross does nothave analytic solution.