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Optimizing Reflected Brownian Motion: A Numerical Study

thesis
posted on 17.10.2019 by Zihe Zhou
This thesis focuses on optimization on a generic objective function based on reflected Brownian motion (RBM). We investigate in several approaches including the partial differential equation approach where we write our objective function in terms of a Hamilton-Jacobi-Bellman equation using the dynamic programming principle and the gradient descent approach where we use two different gradient estimators. We provide extensive numerical results with the gradient descent approach and we discuss the difficulties and future study opportunities for this problem.

History

Degree Type

Master of Science in Industrial Engineering

Department

Industrial Engineering

Campus location

West Lafayette

Advisor/Supervisor/Committee Chair

Harsha Honnappa

Advisor/Supervisor/Committee co-chair

Raghu Pasupathy

Additional Committee Member 2

Susan Hunter

Licence

Exports