SOM 3.201

- Finite-Stage Examples
- Discounted Dynamic Programming
- Negative Dynamic Programming - Minimizing Costs
- Positive Dynamic Programming - Maximizing Rewards
- Average Reward Criterion
- Linear-Programming Formulations
- Bandit Processes

- Stidham, S., Jr., and Weber, R. [1989]. "Monotonic and Insensitive Optimal Policies for Control of Queues with Undiscounted Costs."
*Operations Research*,**37**, pp. 611-625. - Sennott, L. I. [1993]. "The Average Cost Optimality Equation and Critical Number Policies."
*Probability in the Engineering and Informational Sciences*,**7**, pp. 47-68. - Subelman, E. J. [1979]. "The Dependence of Betting Strategies on the Probability of Winning."
*Journal of Applied Probability*,**16**, pp. 855-866. - Righter, R. [1990]. "Stochastically Maximizing the Number of Successes in a Sequential Assignment Problem."
*Journal of Applied Probability*,**27**, pp. 351-364. - Righter, R. [1989]. "A Resource Allocation Problem in a Random Environment."
*Operations Research*,**37**, pp. 329-338. - Nawijn, W. M. [1985]. "The Optimal Look-Ahead Policy for Admission to a Single-Server System."
*Operations Research*,**33**, pp. 625-643. - Nawijn, W. M. [1990]. "Look-Ahead Policies for Admission to a Single-Server Loss System."
*Operations Research*,**38**, pp. 854-862. - Tamaki, M. [1991]. "A Secretary Problem with Uncertain Employment and Best Choice of Available Candidates."
*Operations Research*,**39**, pp. 274-284. - Tamaki, M. [1991]. "A Full-Information Best-Choice Problem with Finite Memory."
*Journal of Applied Probability*,**23**, pp. 718-735. - Sennott, L. I. [1991]. "Constrained Discounted Markov Decision Chains."
*Probability in the Engineering and Informational Sciences*,**5**, pp. 463-475. - Hopp, W. J., Bean, J. C., and Smith, R. L. [1988]. "A New Optimality Criterion for Non-Homogeneous Markov Decision Processes."
*Operations Research*,**35**, pp. 875-883. - Monahan, G. E. [1982]. "A Survey of Partially Observable Markov Decision Processes: Theory, Models, and Algorithms."
*Management Science*,**28**, pp. 1-16. - Assaf, D., and Levikson, B. [1991]. "Optimal Advertising Policy for Selling a Single Asset."
*Probability in the Engineering and Informational Sciences*,**5**, pp. 89-100. - Xu, S. H., Righter, R., and Shanthikumar, J. G. [1992]. "Optimal Dynamic Assignment of Customers to Heterogeneous Servers in Parallel."
*Operations Research*,**40**, pp. 1126-1138. - Song, J.-S., and Zipkin, P. [1993]. "Inventory Control in a Fluctuating Demand Environment."
*Operations Research*,**41**, pp. 351-370. - Gallego, G., and van Ryzin, G. [1994]. "Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons."
*Management Science*,**40**, pp. 999-1020. - Higle, J. L., Bean, J. C., and Smith, R. L. [1990]. "Deterministic Equivalence in Stochastic Infinite Horizon Problems."
*Mathematics of Operations Research*,**15**, pp. 396-407. Bean, J. C., Higle, J. L., and Smith, R. L. [1992]. "Capacity Expansion under Stochastic Demands."*Operations Research*,**40**, Supp. No. 2, pp. 210-216. - Kapuscinski, R., and Tayur, S. [1998]. "A Capacitated Production-Inventory Model with Periodic Demand."
*Operations Research*,**46**, pp. 899-911. - Angelus, A., and Porteus, E. L. [2002]. "Simultaneous Capacity and Production Management of Short-Life-Cycle, Produce-to-Stock Goods under Stochastic Demand."
*Management Science*,**48**, pp. 399-413. - Wu, R., and Fu, M. C. [2003]. "Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options."
*Operations Research*,**51**, pp. 52-66. Ben-Ameur, H., Breton, M., and L'Ecuyer, P. [2002]. "A Dynamic Programming Procedure for Pricing American-Style Asian Options."*Management Science*,**48**, pp. 625-643. - Feng, Y., and Xiao, B. [2001]. "A Dynamic Airline Seat Inventory Control Model and Its Optimal Policy."
*Operations Research*,**49**, pp. 938-949. - Smith, J. E., and McCardle, K. F. [2002]. "Structural Properties of Stochastic Dynamic Programs."
*Operations Research*,**50**, pp. 796-809. - Whittle, P. [1981]. "Arm Acquiring Bandits."
*Annals of Probability*,**9**, pp. 284-292. - McCardle, K. F. [1985]. "Information Acquisition and the Adoption of New Technology."
*Management Science*,**31**, pp. 1372-1389. - Cheevaprawatdomrong, T., and Smith, R. L. [2004]. "Infinite Horizon Production Scheduling in Time-Varying Systems under Stochastic Demand."
*Operations Research*,**52**, pp. 105-115.

- Assignment #1
- Assignment #2