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Title: Applications in optimization and investment lag problem
Author: Al-Foraih, Mishari Najeeb
ISNI:       0000 0004 5356 3456
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 2015
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This thesis studies two optimization problems: the optimization of a staffing policy assuming non stationary Poisson demand, and exponential travel and job times, and the optimization of investment decisions with an investment lag. In the staffing policy optimization, we solve a novel time-dynamic Hamilton-Jacobi-Bellman equation that models jobs as a Poisson jump process. The model gives the employer the flexibility to control the number of staff hired by two factors: the cost of hiring and the effect of delay. We have solved the optimal staffing policy problem using different approaches, which are compared. We produce accurate numerical results for different parameters, and discuss the advantages and disadvantages of each approach. Moreover, we have solved a staffing problem for a national utility company, using a standard linear programming approach, which is compared with our methods. In addition to the Poisson jump process, we extend the model to treat a continuous job model, and two locations model that is extendible to a larger network problem. In the investment lag problem, we use a mixture of numerical methods including finite difference and body fitted co-ordinates to form a robust and stable numerical scheme which is applied to solve the investment lag problem for a geometric Brownian motion presented in the paper by Bar-Ilan and Strange (1996). The problem is to calculate the optimal price to invest in a project that have a time lag period between the decision to invest and production, and the optimal price to mothball the project. The method presented in this thesis is more flexible as we compare it with the previous results, and solves the problem for different stochastic processes, such as Cox-Ingersoll-Ross model, which does not have analytic solution.
Supervisor: Johnson, Paul ; Duck, Peter Sponsor: Kuwait University
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Optimization ; Real Options valuations ; Dynamic programming