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Exact Solution to a Class of Stochastic Resource Extraction Problems

In: Operations Research Proceedings 2005

Author

Listed:
  • Sum T. S. Cheng

    (Hong Kong Baptist University)

  • David W. K. Yeung

    (Hong Kong Baptist University
    St Petersburg State University)

Abstract

In this paper, a class of resource extraction problems involving stochastic dynamics and randomly fluctuating non-autonomous payoffs are developed. An empirically meaningful theory of optimization must therefore incorporate uncertainty in an appropriate manner. The introduction of this stochastic specification lead to a novel approach to solve dynamic problems in terms of properties and solution concepts not explored in the literature before. Exact solution to this stochastically complicated problem is presented. Computer simulations are provided. The analysis could be applied to various practical problems involving complex uncertainties.

Suggested Citation

  • Sum T. S. Cheng & David W. K. Yeung, 2006. "Exact Solution to a Class of Stochastic Resource Extraction Problems," Operations Research Proceedings, in: Hans-Dietrich Haasis & Herbert Kopfer & Jörn Schönberger (ed.), Operations Research Proceedings 2005, pages 495-500, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-32539-0_78
    DOI: 10.1007/3-540-32539-5_78
    as

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