Resource title

Neural networks, stochastic dynamic programming and a heuristic for valuing flexible manufacturing systems

Resource image

image for OpenScout resource :: Neural networks, stochastic dynamic programming and a heuristic for valuing flexible manufacturing systems

Resource description

We compare the use of stochastic dynamic programming (SDP), Neural Networks and a simple approximation rule for calculating the real option value of a flexible production system. While SDP yields the best solution to the problem, it is computationally prohibitive for larger settings. We test two approximations of the value function and show that the results are comparable to those obtained via SDP. These methods have the advantage of a high computational performance and of no restrictions on the type of process used. Our approach is not only useful for supporting large investment decisions, but it can also be applied in the case of routine decisions like the determination of the production program when stochastic profit margins occur. (author's abstract) ; Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Resource author

Markus Feurstein, Martin Natter

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://epub.wu.ac.at/1106/1/document.pdf

Resource license

Adapt according to the license agreement. Always reference the original source and author.