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Competitive solutions for online financial problems
 ACM Comput. Surv
, 1998
"... This article surveys results concerning online algorithms for solving problems related to the management of money and other assets. In particular, the survey focuses on search, replacement, and portfolio selection problems. ..."
Abstract

Cited by 11 (0 self)
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This article surveys results concerning online algorithms for solving problems related to the management of money and other assets. In particular, the survey focuses on search, replacement, and portfolio selection problems.
Nearly Optimal Competitive Online Replacement
"... This paper studies the following online replacement problem. There is a real function f(t), called the flow rate, defined over a finite time horizon [0; T ]. It is known that m f(t) M for some reals 0 m ! M . At time 0 an online player starts to pay money at the rate f(0). At each time 0 ! t T ..."
Abstract

Cited by 5 (2 self)
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This paper studies the following online replacement problem. There is a real function f(t), called the flow rate, defined over a finite time horizon [0; T ]. It is known that m f(t) M for some reals 0 m ! M . At time 0 an online player starts to pay money at the rate f(0). At each time 0 ! t T the player may changeover and continue paying money at the rate f(t). The complication is that each such changeover incurs some fixed penalty. The player is called online as at each time t the player knows f only over the time interval [0; t]. The goal of the player is to minimize the total cost comprised of cumulative payment flow plus changeover costs. This formulation of the replacement problem has various interesting applications among which are: equipment replacement, supplier replacement, the menu cost problem and mortgage refinancing.
J. Fowler and S. Mason, eds. Component Replacement Analysis for Radial Distribution Systems
"... A new replacement analysis methodology is developed to determine systemlevel component replacement schedules for radial electricity distribution configurations composed of sets of heterogeneous assets. The proposed model is an iterative combined dynamic programming and integer programming approach ..."
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A new replacement analysis methodology is developed to determine systemlevel component replacement schedules for radial electricity distribution configurations composed of sets of heterogeneous assets. The proposed model is an iterative combined dynamic programming and integer programming approach to obtain costefficient systemlevel component replacement schedules with the objective of minimizing the total Net Present Value of unmet demand (considering the system unavailability), maintenance and purchase costs over a finite planning horizon. There is an annual budget limiting total expenditures for maintenance and replacement costs which limits the selection of component replacement schedules. The method is demonstrated in the replacement analysis for a radial distribution configuration.
Component Replacement Analysis for Complex Electricity Distribution Configurations
"... A new component replacement analysis method to solve asset replacement problems for complex electricity distribution systems is developed. In the present model a Taylor series expansion is used to approximate the associated opportunity cost for each component in the system. The method is based on an ..."
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A new component replacement analysis method to solve asset replacement problems for complex electricity distribution systems is developed. In the present model a Taylor series expansion is used to approximate the associated opportunity cost for each component in the system. The method is based on an iterative dynamic programming and integer programming methods to obtain optimal systemlevel component replacement schedules with the objective of minimizing the total Net Present Value of unmet demand, maintenance and purchase costs. The Method is applied to the Dual Element Spot Network (DESN) configuration which is one of the most commonly used by the power industry.
Assistant Teacher
"... In every field of our real life situations, we deal with a replacement problem, when some items such as machines, medical equipment, military tank, electric bulb etc. or workers need to replace due to their decreased efficiency, failure or break down. To get a more realistic view of a replacement pr ..."
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In every field of our real life situations, we deal with a replacement problem, when some items such as machines, medical equipment, military tank, electric bulb etc. or workers need to replace due to their decreased efficiency, failure or break down. To get a more realistic view of a replacement problem, here, we consider that the capital cost ( C ~), scrap value or resale) are all of value ( S ~), maintenance cost or running cost ( ft fuzzy numbers. These fuzzy numbers are considered as a trapezoidal fuzzy numbers or triangular fuzzy numbers. Yagerâ€™s Ranking method (1981) has been used to determine the best alternative of fuzzy numbers. It has been also used to transform a replacement model with fuzzy cost to a replacement model with crisp cost. Then we solved it by any conventional method. Two numerical examples have been solved to show the effectiveness of the proposed method.
1 AN ANALYTICAL REAL OPTION REPLACEMENT MODEL WITH DEPRECIATION
"... A replacement model is presented for a productive asset subject to stochastic input decay, tax allowances due to a deterministic depreciation variable, and a fixed investment cost. The risk neutral valuation function is formulated and optimal trigger levels signalling replacement for the two factors ..."
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A replacement model is presented for a productive asset subject to stochastic input decay, tax allowances due to a deterministic depreciation variable, and a fixed investment cost. The risk neutral valuation function is formulated and optimal trigger levels signalling replacement for the two factors is determined analytically although not as a closedform solution. We demonstrate that the operating cost trigger level depends on asset age and increases monotonically due to positive volatility changes and that the model solution furnishes the results for certain special cases. The analysis is conducted both for a depreciation schedule specified by the declining balance and straight line method. The comparative analysis shows that although no universal ideal depreciation schedule exists between the two, the declining balance method is preferred. Finally, the solution method is sufficiently tractable to be applied in principle to real option models where time is a critical factor. 1.