These papers are working drafts of research which often appear in final form in academic journals. The published versions may differ from the working versions provided here.
SSRN Research Paper Series
The Social Science Research Network’s Research Paper Series includes working papers produced by Stanford GSB and the Rock Center.
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An Experiment in Computing the Expected Discounted Return in a Finite Markov Chain
An experiment with a certain transformation, leading to a new iterative method, was carried out with the intent of speeding the computation of the infinite horizon expected discounted return in a finite Markov chain. At first the method seemed…
Analysis of Linear Programs By Sequential Projection
We apply what we call sequential projection to reformulate a block triangular linear program as a recursive optimization problem. We approximate the return function at each stage of the recursion by using either inner or outer linearization, and…
Design and Implementation of Decision Support Systems: Some Implications of a Recent Study
This paper is an evaluation and critique of the Decision Support System (DSS) design and implementation methodology proposed by Gerrity (1970, 1971). A recent study (Stabell, 1974) of a system for portfolio management which was produced using…
Estimating Computational Effort for Linear Programming Algorithms
Abstract not available.
Estimation Using General Convex or Concave Functions
The estimation of an inner-linearized approximation to a general convex or concave function with n independent variables is formulated as a concave programming problem. An algorithmic procedure, based on relaxation, which generates constraints as…
Extrapolations for Iterative Methods of Solving M-Matrix Equations
Abstract not available.
A Forecasting Model for Hotel Occupancy Rates
Although in 1973 the average nationwide occupancy rate for hotels and motels was 61%, this rate fluctuates widely based on the time of year and the specific hotel or motel. The purpose of this paper is to present a short range forecasting…
Heuristic Scheduling and Priority Implementation Procedures for a Dynamic Job Shop Model
The problem considered is the scheduling of a job shop with job due dates, intermittent job arrivals, and statistical processing times. Centralized scheduling uses a sequence of static problems for generating priorities at review times. The…
A Note on the Relation Between the Generalized GUB-Technique and Dantzig-Wolfe Decomposition
Although the generalized GUBtechnique (GGUB) conceptually is very different from DantzigWolfe decomposition (DW), we show that these methods are very much alike computationally. Our purpose is to provide insight into the close relationship…
On Optimal Dividend and Liquidation Policies for the Firm, II: Optimality of LRHD Policies
The study of optimal dividend, reinvestment, and liquidation policies for a single asset firm is continued. By assuming roughly that the probability distribution of net asset changes is PF2, that its mode is not too low, and that the probability…
On the Decomposition of the Municipal Cash Management Problem Using an Interactive Approach
Decomposition of the municipal cash management problem into monthly and daily decisions is considered and conditions presented which guarantee that the decomposition is well defined. Under certain conditions, infeasibilities at the daily level…
On the Optimality of Structured Policies in Countable Stage Decision Processes
Multi-stage decision processes are considered, in notation which is an outgrowth of that introduced by Denardo [l0]. Certain Markov decision processes, stochastic games, and risk-sensitive Markov decision processes are formulated in this notation…
On the Optimality of Structured Policies in Countable Stage Decision Processes, III: Regular Terminal Value Functions
The study of structured countable stage decision processes is continued. Rather than requiring the terminal value functions to be what are called regular-structured [6], we only require them to be regular. Since the infinite horizon values are…
Some Organizational Properties of Resource Directive Allocation Mechanisms
This paper discusses some of the organizational aspects of a class of decentralized resource allocation mechanisms based in theory upon decomposition of linear programs. Organizational aspects refer to those attributes which have behavioral…
An Informal Look at the Principle of Optimality
The Principle of Optimality is examined informally (bereft of notation) in the context of discounted Markov decision processes. The optimality equations and optimality criterion are introduced with discounted Markov decision processes. The…
Bounds and Transformations for Finite Markov Decision Chains
New improved bounds on the optimal return function in finite state and action, infinite horizon, discounted stationary Markov decision chains are developed. They require solving a single constraint, bounded variable linear program, which can be…
A Dynamic Programming Approach to the Abandonment Decision
The decision about when to abandon a capital investment is formulated as a dynamic programming problem under conditions of both certain and probabilistic cash flows. One period autocorrelation is assumed in the case of uncertain cash flows. A…
Evaluation of Project Risk in Capital Investments with Abandonment Options
This paper develops a formula for calculating the variance of the present value of cash flows for capital investment projects that have an option to abandon the project in each period. The development of the optimal abandonment strategy can be…
A Framework For Analysis Of Coordination Mechanisms In Decentralized Organizations
This paper has three purposes: (1) to present a framework for classifying and analyzing conceptual models of the resource allocation process in a decentralized organization, (2) to explain some different coordination strategies, and (3) to show…