Alain Bensoussan

University of Texas at Dallas - Naveen Jindal School of Management

Alain Bensoussan Director, International Center

800 West Campbell Rd

SM 30

Richardson, TX 75080-3021

United States

http://www.utdallas.edu/~axb046100/

Hong Kong Polytechnic University - Faculty of Business

Chair Professor of Risk and Decision Analysis

Dept SEEM

Systems Engr * Engr Mgmt

Hong Kong, Hong Kong

China

Ajou University

Distinguished Professor

Ajou

France

SCHOLARLY PAPERS

52

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6,071

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Top 7,853

in Total Papers Citations

59

CROSSREF CITATIONS

110

Scholarly Papers (52)

1.

Optimal Cash Management under Uncertainty

Operations Research Letters, Vol. 37, pp. 425-429, 2009
Number of pages: 15 Posted: 28 Feb 2009 Last Revised: 27 Mar 2014
Alain Bensoussan, Anshuman Chutani and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 432 (84,276)

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Cash management, stochastic control, maximum principle, risky assets

2.

Optimal Ordering Policies for Stochastic Inventory Problems with Observed Information Delays

Production and Operations Management, Vol. 18, No. 5, pp. 546-559, 2009
Number of pages: 14 Posted: 28 Feb 2008 Last Revised: 26 Oct 2009
Alain Bensoussan, M. Çakanyıldırım, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 308 (123,332)

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Information delay, partial observations, stochastic inventory problem, incomplete information, base-stock policy, dynamic programming, sufficient statistic, destination and origin determined dynamic delays, Information flow crossing

3.

A Two-Stage Newsvendor Problem with a Service Constraint

Number of pages: 37 Posted: 06 Jul 2008
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 298 (127,795)
Citation 3

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Inventory, newsvendor problem, service constraint, forecast update, two-stage ordering

4.

A Mechanism Design Approach to Vendor Managed Inventory

Management Science, Forthcoming
Number of pages: 52 Posted: 10 Feb 2018 Last Revised: 10 May 2019
Bharadwaj Kadiyala, Özalp Özer and Alain Bensoussan
University of Utah - Department of Operations and Information Systems, Amazon, Supply Chain Optimization Technologies and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 245 (155,946)
Citation 1

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Value of information sharing, vendor managed inventory, incentives of information sharing, Bayesian inventory management, mechanism design, censored demand

5.

Filtering for Discrete-Time Markov Processes and Applications to Inventory Control with Incomplete Information

THE OXFORD HANDBOOK OF NONLINEAR FILTERING, D. Crisan and B. Rozovsky, eds., Chapter 18, pp. 500-525, Oxford University Press, 2011
Number of pages: 20 Posted: 30 Jan 2008 Last Revised: 25 Apr 2012
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 228 (167,146)
Citation 3

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Filtering, inventory control, optimal control, adaptive control, unnormalized probability, Kalman filter, Zakai equation, partial observations, incomplete information

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices

Mathematical Finance, Vol. 19, No. 2, pp. 215-236, 2009
Number of pages: 33 Posted: 30 Apr 2007 Last Revised: 13 Apr 2009
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 213 (178,035)

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Optimal Consumption and Investment, Inflation, Stochastic Control with partial observations, Separation Principle, Zakai Equation

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices

Mathematical Finance, Vol. 19, Issue 2, pp. 215-236, April 2009
Number of pages: 22 Posted: 27 Apr 2009
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 3 (799,553)
Citation 4
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7.

Achieving a Long-Term Service Target with Periodic Demand Signals: A Newsvendor Framework

Manufacturing & Service Operations Management, Forthcoming, McCombs Research Paper Series No. IROM-10-09
Number of pages: 42 Posted: 25 Feb 2009 Last Revised: 28 May 2010
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 208 (184,752)
Citation 1

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Inventory models, newsvendor problem, service constraint, Kuhn-Tucker conditions, Two-stage newsvendor, forecast updates, aggregate service target, long-term service level, infinite-dimensional problem, Chance constraints

8.

The Genuine Savings Criterion and the Value of Population in an Economy with Endogenous Fertility Rate

OPTIMAL CONTROL OF AGE-STRUCTURED POPULATIONS IN ECONOMY, DEMOGRAPHY, AND THE ENVIRONMENT, R. Boucekkine, pp. 20-44, N. Hritonenko, Y. Yatsenko, eds., Taylor & Francis, UK, 2011
Number of pages: 26 Posted: 09 Feb 2008 Last Revised: 30 Mar 2014
Kenneth J. Arrow, Alain Bensoussan, Qi Feng and Suresh Sethi
Stanford University - Department of Economics, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 198 (190,871)
Citation 2

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savings, genuine savings, green gross national product, population policy, value of the population, economic growth, optimal control, phase diagram, dynamic programming, Maximum principle

9.

Partially Observed Inventory Systems: The Case of Zero-Balance Walk

SIAM Journal on Control & Optimization, Vol. 46, No. 1, pp. 176-209, 2007
Number of pages: 37 Posted: 12 Jan 2008 Last Revised: 29 Oct 2009
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 196 (192,564)
Citation 4

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inventory models, incomplete information, partially observed systems, optima control, zero-balance walk, inventory control, feedback policy, lost sales case

10.

Integrating Equipment Investment Strategy with Maintenance Operations under Uncertain Failures

McCombs Research Paper Series No. IROM-12-09
Number of pages: 47 Posted: 16 Apr 2009 Last Revised: 17 Oct 2011
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 195 (193,445)

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Maintenance and replacement, optimal control, impulse control, equipment investment; stopping time; variational inequality, reliability, hazard rate, the Kamien-Schwartz model, dynamic programming, chain of machines model

11.

Feedback Stackelberg Solutions of Infinite-Horizon Stochastic Differential Games

In Models and Methods in Economics and Management Sciences, Essays in Honor of Charles S. Tapiero, Fouad El Ouardighi and Konstantin Kogan (Eds.), Series 6161, Vol. 198, Springer International Publishing Switzerland, 2014, 3-15.
Number of pages: 13 Posted: 25 Sep 2012 Last Revised: 16 Apr 2014
Alain Bensoussan, Shaokuan Chen and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 182 (205,678)
Citation 1

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Differential games, feedback Stackelberg equilibrium, Riccati equation, infinite horizon

12.

A Multiperiod Newsvendor Problem with Partially Observed Demand

Mathematics of Operations Research, Vol. 32, No. 2, pp. 322-344, May 2007
Number of pages: 23 Posted: 04 Feb 2008 Last Revised: 29 Apr 2014
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 182 (206,662)
Citation 4

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unobserved unmet demand; Markovian demand; newsvendor problem, dynamic programming, inventroy models, partially observed systems, incomplete information, base stock policy, myopic policy

13.

Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach

SIAM Journal on Control & Optimization, Vol. 44, No. 5, pp. 1650-1676, 2006
Number of pages: 28 Posted: 26 Feb 2008 Last Revised: 14 Apr 2008
Alain Bensoussan, R. H. Liu and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Dayton - Department of Mathematics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 170 (218,185)
Citation 1

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(s, S) policy, compound Poisson process, diffusion process, economic order quantity model, impulse control, quasi-variational inequalities, stochastic inventory model, EOQ Model

14.

Evaluating Long-Term Service Performance in Two-Stage Newsvendor Models

Number of pages: 30 Posted: 30 Jan 2008 Last Revised: 10 Apr 2014
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 170 (218,185)

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Newsvendor Model, inventory model, service measures, forecast updates, Two-stage newsvendor model, fill rate

15.

Bayesian and Adaptive Controls for a Newsvendor Facing Exponential Demand

Risk and Decision Analysis, Vol. 1, No. 4, pp. 197-210, 2009
Number of pages: 14 Posted: 30 Jan 2008 Last Revised: 01 May 2014
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 169 (219,226)
Citation 1

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Consistent estimators, censored data, Bayesian control, adaptive control, Newsvendor model, unnormalized probability, optimal control, incomplete information, partial observations

16.

An Incomplete Information Inventory Model with Presence of Inventories or Backorders as Only Observations

Number of pages: 60 Posted: 07 Mar 2008 Last Revised: 02 Dec 2019
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Sonora - Department of Mathematics, University of Texas at Dallas - Naveen Jindal School of Management and University of Richmond - Robins School of Business, Management Department
Downloads 158 (232,125)
Citation 2

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Inventory model, partial observations, incomplete information, stochastic control, dynamic programming, infinite dimensional spaces, contraction mapping, fixed point

17.

Inventory Control with a Cash Register: Sales Recorded but Not Demand or Shrinkage

Number of pages: 34 Posted: 10 Jul 2011
Alain Bensoussan, M. Çakanyıldırım, Suresh Sethi and Meng Li
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and Rutgers, The State University of New Jersey - Management
Downloads 149 (243,711)
Citation 5

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inventory/production, uncertainty, dynamic programming/optimal control, Markov, Stochastic Models

18.

Censored Newsvendor Model Revisited with Unnormalized Probabilities

Journal of Industrial Management and Optimization, Vol. 5, No. 2, 2009
Number of pages: 12 Posted: 06 Feb 2008 Last Revised: 16 Mar 2009
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 143 (251,877)

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Unnormalized probabilities, Unobserved unmet demand, Newsvendor problem, dynamic programming, infinite dimensional spaces, incomplete information, partially obsereved systems, optimal control

19.

Average Cost Optimality in Inventory Models with Dynamic Information Delays

IEEE Transactions on Automatic Control, Forthcoming
Number of pages: 14 Posted: 18 Apr 2008 Last Revised: 14 Mar 2011
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Zhejiang University--School of Management and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 133 (266,529)

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dynamic information delays, partial observations, stochastic inventory, base stock policies, average cost optimality, ergodic problem, vanishing discount approach

20.

Differential Games with Mixed Leadership: The Open-Loop Solution

Applied Mathematics and Computation, 217, 2010, 972-979.
Number of pages: 17 Posted: 31 Aug 2009 Last Revised: 18 Mar 2020
Tamer Basar, Alain Bensoussan and Suresh Sethi
University of Illinois at Urbana-Champaign, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 125 (279,173)
Citation 1

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Differential games, Stackelberg-Nash solution, mixed leadership games, two-point boundary value problems, Stackelberg games, multi-leader multi follower games, hierarchical games, open-loop solution, linear-qudratic differential games

21.

Linear Quadratic Differential Games with Mixed Leadership: The Open-Loop Solution

Numerical Algebra, Control and Optimization, Volume 3, Number 1, March 2013, pp. 95-108
Number of pages: 15 Posted: 27 Mar 2014
Alain Bensoussan, Shaokuan Chen and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 123 (282,607)
Citation 1

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Differential games, Stackelberg equilibria, mixed leadership, Riccati equations, two-point boundary value problems

22.

Optimal Ordering Policies for Inventory Problems with Dynamic Information Delays

Production and Operations Management,Vol. 16, No. 2, pp. 241-256, March-April 2007
Number of pages: 16 Posted: 12 Feb 2008 Last Revised: 10 Apr 2014
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 120 (287,724)

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dynamic information delays, partial observations, stochastic inventory problem, base-stock policy, (s, S) policy, inventory models, incomplete information, sufficient statistics

23.

Does Performance-Sensitive Debt Mitigate Debt Overhang?

Number of pages: 50 Posted: 15 Jan 2020 Last Revised: 20 May 2021
University of Texas at Dallas - Naveen Jindal School of Management, Cranfield School of Management and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 117 (292,905)

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Performance-Sensitive Debt, Real Options, Debt Overhang, Capital Structure

24.

Optimal Savings and the Value of Population

Proceedings of The National Academy of Sciences, Vol. 104, No. 47, pp.18421-18426, November 20, 2007
Number of pages: 36 Posted: 15 Jan 2008 Last Revised: 12 Feb 2008
Kenneth J. Arrow, Alain Bensoussan, Qi Feng and Suresh Sethi
Stanford University - Department of Economics, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 116 (294,621)

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economic growth, optimal control, phase diagram, dynamic programming, optimal savings, genuine savings

25.

A Model for Wind Farm Management with Option Interactions

Number of pages: 56 Posted: 05 Dec 2019 Last Revised: 09 Jun 2021
University of Texas at Dallas - Naveen Jindal School of Management, Cranfield School of Management and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 113 (300,119)
Citation 4

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Portfolios of real options, compound options, capacity investment, strategic path dependency

26.

A Note on 'The Censored Newsvendor and the Optimal Acquisition of Information'

Operations Research, Vol. 57, No. 3, pp. 791-794, May-June 2009
Number of pages: 5 Posted: 17 Jan 2008 Last Revised: 18 Jul 2009
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 112 (302,001)
Citation 5

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Inventory/production: unknown demand, lost sales, censoring, optimal policies, partial observations, incomplete demand information, Bayesian approach, myopic policy, unnormalized probability, dynamic programming, infinite dimensional state space, optimal control

27.

The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

SIAM Control and Optimization, Forthcoming
Number of pages: 25 Posted: 25 Mar 2014 Last Revised: 27 Jan 2015
Alain Bensoussan, Shaokuan Chen and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 107 (311,801)
Citation 6

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Stackelberg differential game, maximum principle, forward-backward stochastic differential equation, Riccati equation

28.

Partially Observed Inventory Systems: The Case of Rain Checks

SIAM Journal of Control and Optimization, 47(5), 2008, 2490-2519
Number of pages: 27 Posted: 30 Jan 2008 Last Revised: 24 Jun 2020
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Sonora - Department of Mathematics, University of Texas at Dallas - Naveen Jindal School of Management and University of Richmond - Robins School of Business, Management Department
Downloads 105 (315,778)
Citation 5

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Partially Observed Systems, inventroy control, Rain Checks, incomplete information, lost sales, optimal control, incomplete information, feedback policy, dynamic programming, unnormalized probability, infinite dimensional space

29.

Economic Evaluation of Systems that Expedite Inventory Information

Production and Operations Management Society, Vol. 16, No. 3, pp. 360-368, May-June 2007
Number of pages: 9 Posted: 12 Feb 2008
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 104 (317,832)

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economic evaluation, information delays,delay evaluation,base-stock policy, partially observed inventory, incomplete information, sufficient statistics, RFID, radio frequency identification tags

30.

On the Optimal Control of Partially Observed Inventory Systems

Comptes Rendus de l'Academié des Sciences, Ser. Paris, Ser. I 341, pp. 419-426, 2005
Number of pages: 9 Posted: 30 Jan 2008 Last Revised: 07 Nov 2008
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 101 (324,050)
Citation 2

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Optimal Control, Inventory models, Partially Observed Systems, unnormalized probabilities, infinite dimensional systems, conditional distributions, incomplete information

31.

Inventory Problems with Partially Observed Demands and Lost Sales

Journal of Optimization Theory & Applications, Vol. 136, No. 1, January 2008
Number of pages: 33 Posted: 24 Dec 2007 Last Revised: 10 Apr 2014
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Sonora - Department of Mathematics, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 101 (324,050)
Citation 2

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inventory models, partially observed systems, incomplete information, lost sales

32.

Optimal Ordering Policy and Value of Information under Delayed Lost Sales Observations

McCombs Research Paper Series No. IROM-05-09
Number of pages: 30 Posted: 05 Nov 2008 Last Revised: 18 Jan 2009
Alain Bensoussan, M. Çakanyıldırım, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 96 (334,837)

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Inventory, newsvendor problem, partial observation, lost sales, incomplete demand information, dynamic programming, delayed observations

33.

Inventory Control Driven by Demand Data: Optimality and Computation of Base Stocks

Number of pages: 71 Posted: 07 Jan 2021
Alain Bensoussan, Suresh Sethi, Abdoulaye Thiam and Janos Turi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematical Sciences, Natural Sciences & Mathematics, & (ICDRiA), University of Texas at Dallas, Richardson, TX 75080-3021 and affiliation not provided to SSRN
Downloads 89 (351,242)
Citation 1

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stochastic dynamic programming, unnormalized probabilities, demand learning, base stock policy, random demands

34.

Optimality of Base-Stock and (s, S) Policies for Inventory Problems with Information Delays

Journal of Optimization Theory and Applications, Vol. 130, No. 2, pp. 153-172, August 2006
Number of pages: 36 Posted: 19 Feb 2008 Last Revised: 14 Apr 2008
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 81 (371,845)

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Information delay, partial observations, stochastic inventory problem, incomplete information, base-stock policy, dynamic programming, sufficient statistic

35.

The Machine Maintenance and Sale Age Model of Kamien and Schwartz Revisited

Management Science, Vol. 53, No. 12, pp. 1964-1976, December 2007
Number of pages: 36 Posted: 25 Jan 2008 Last Revised: 23 Jan 2009
Alain Bensoussan and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 74 (391,593)

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Maintenance and replacement, optimal control, variational inequality, stochastic processes, the Kamien-Scwwartz model, machine replacement

36.

Existence and Uniqueness of a Solution of a Partially Observed Stochastic Control Problem

Number of pages: 17 Posted: 10 Jul 2011 Last Revised: 17 Jul 2011
Alain Bensoussan, M. Çakanyıldırım, Suresh Sethi and Meng Li
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and Rutgers, The State University of New Jersey - Management
Downloads 71 (400,671)

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inventory/production, uncertainty, dynamic programming/optimal control, Markov, Stochastic Models

Computation of Approximate Optimal Policies in a Partially Observed Inventory Model with Rain Checks

Automatica, Forthcoming
Number of pages: 36 Posted: 10 Sep 2009 Last Revised: 16 Apr 2020
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Richmond - Robins School of Business, Management Department
Downloads 54 (466,407)
Citation 1

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partially observed inventory, rain checks, Chebyshev polynomials, Fast Fourier Transforms, incomplete inventory information. rain checks, inventory models, partially observed systems, dynamic programming

Computation of Approximate Optimal Policies in a Partially Observed Inventory Model With Rain Checks

Bensoussan, Alain & Çakanyildirim, Metin & Sethi, Suresh & Shi, Ruixia, Computation of Approximate Optimal Policies in Partially Observed Inventory Model With Rain Checks. Automatica, 2011
Number of pages: 18 Posted: 16 Dec 2019 Last Revised: 24 Mar 2020
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and affiliation not provided to SSRN
Downloads 8 (756,483)

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Partially Observed Inventory, Rain Checks, Chebyshev Polynomials, Fast Fourier Transforms

38.

Optimal Policies for Inventory Systems with Piecewise-Linear Concave Ordering Costs

Number of pages: 56 Posted: 09 Jun 2020
University of Texas at Dallas - Naveen Jindal School of Management, The University of Texas at Dallas, The University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 57 (448,008)

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Generalized (S, S) Policy, Inventory-Production, Stochastic, Dynamic Programming-Optimal Control, Applications, Functional Bellman Equation, Quantity Discounts, Contraction Mapping

39.

Real Options Problem with Non-Smooth Obstacle

Number of pages: 51 Posted: 18 Feb 2021
University of Texas at Dallas - School of Natural Sciences and Mathematics, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 45 (495,979)

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Stochastic optimal control, variational inequality, weak formulation, strong two-threshold solution, real options

40.

Optimality of Base Stock Policy under Unknown Demand Distributions: New Results and a New Method

Number of pages: 63 Posted: 03 Jun 2021
Alain Bensoussan, Suresh Sethi, Abdoulaye Thiam and Janos Turi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematical Sciences, Natural Sciences & Mathematics, & (ICDRiA), University of Texas at Dallas, Richardson, TX 75080-3021 and affiliation not provided to SSRN
Downloads 34 (549,053)

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dynamic learning, dynamic programming, Bellman equation, unnormalized probabilities, base stock policy, computational procedures.

41.

Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising

SIAM Journal on Control and Optimization, Volume 57, Issue 5
Number of pages: 35 Posted: 13 Dec 2019 Last Revised: 18 Mar 2020
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas, affiliation not provided to SSRN, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 34 (549,053)
Citation 2

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Stackelberg differential game, Nash differential game, feedback solution, cooperative advertising

42.

Impulse Control with Random Reaction Periods: A Central Bank Intervention Problem

Operations Research Letters, 40, 425-430, 2012
Number of pages: 14 Posted: 24 Apr 2012 Last Revised: 27 Mar 2014
Alain Bensoussan, Hongwei Long, Sandun Perera and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Florida Atlantic University, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 34 (549,053)
Citation 1

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impulse control, central bank interventions, market reactions, variational inequality

43.

Optimal Investment-Consumption Decisions With Partially Observed Inflation: A Discrete-Time Formulation

Number of pages: 24 Posted: 11 Jul 2019
Alain Bensoussan and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 28 (583,070)

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Portfolio-consumption problems, partial observations, inflation, mutual fund theorems, discrete time formulation

Evaluating Long-Term Service Performance under Short-Term Forecast Updates

Number of pages: 18 Posted: 13 Dec 2019 Last Revised: 23 Mar 2020
Alain Bensoussan, Qi Feng, Sirong Luo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management, Shanghai University of Finance and Economics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 9 (747,947)

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newsvendor model; in-stock rate; fill rate; long-term service level; demand forecast update

Evaluating Long-Term Service Performance under Short-Term Forecast Updates

Proceedings of the 14th IFAC Symposium on Information Control Problems in Manufacturing, Bucharest, Romania, May 23-25, 2012
Number of pages: 8 Posted: 27 Apr 2020
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
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Newsvendor model; in-stock rate; fill rate; long-term service level; demand forecast update

45.

Stochastic Production Planning with Production Constraints

SIAM Journal on Control and Optimization, Vol. 22, No. 6, pp. 920-935, 1984
Number of pages: 16 Posted: 30 Jan 2019
Alain Bensoussan, Suresh Sethi, Raymond Vickson and N. A. Derzko
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Waterloo - Department of Management Sciences and University of Toronto
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production-inventory model, aggregate planning, stochastic optimal control, dynamic programming, control constraints,policy iteration, HMMS Model

46.

Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem

Number of pages: 17 Posted: 13 Dec 2019 Last Revised: 20 Mar 2020
Alain Bensoussan, M. Çakanyıldırım, Meng Li and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
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47.

Optimal Consumption and Portfolio Decisions with Partially Observable Real Prices

Mathematical Finance, 19(2), April 2009, 215-236
Number of pages: 33 Posted: 17 Jun 2020
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
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optimal consumption and investment, inflation, stochastic control with partial observations, separation principle, Zakai equation.

48.

Real Options with Competition and Regime Switching

Mathematical Finance, Vol. 27, Issue 1, pp. 224-250, 2017
Number of pages: 27 Posted: 15 Jan 2017
Alain Bensoussan, SingRu Hoe, Zhongfeng Yan and G. George Yin
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Arlington - Department of Finance and Real Estate, Jinan University and Wayne State University
Downloads 1 (787,428)
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variational inequality, irreversible investment, real option, regime switching, game theory, optimal stopping problem

49.

Stochastic Production Planning with Production Constraints: A Summary

Proceedings of the 23rd IEEE Conference on Decision and Control, Vol. 3, Las Vegas, NV, 1645-1646, 1984
Posted: 04 Jun 2020
Alain Bensoussan, Suresh Sethi, Raymond Vickson and N. A. Derzko
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Waterloo - Department of Management Sciences and University of Toronto

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Stochastic Production Planning, Optimal Production Planning

50.

Inventory Management With Overlapping Shrinkages and Demands

Risk and Decision Analysis, 5(4), 2014, 189-210
Posted: 20 Apr 2020
Alain Bensoussan, M. Çakanyıldırım, Meng Li and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Rutgers, The State University of New Jersey - Management and University of Texas at Dallas - Naveen Jindal School of Management

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Inventory inaccuracy, shrinkage

51.

A Stationary Infinite-Horizon Supply Contract under Asymmetric Inventory Information

Posted: 13 Dec 2019 Last Revised: 21 Jul 2020
Alain Bensoussan, Suresh Sethi and Shouqiang Wang
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management

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52.

Unemployment Risks and Optimal Retirement in an Incomplete Market

Operations Research, Forthcoming
Posted: 20 Jan 2013 Last Revised: 06 Mar 2016
Alain Bensoussan, Bong-Gyu Jang and Seyoung Park
University of Texas at Dallas - Naveen Jindal School of Management, Pohang University of Science and Technology (POSTECH) and Nottingham University Business School

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unemployment risk, optimal retirement, optimal investment, portfolio theory, dynamic programming, convex duality