RecruitingDrug trialCombination Therapy for Treatment of Sleep Disturbance in Patients With Advanced CancerTo learn if Cognitive Behavior Therapy (called CBT), combined with either Bright Light Therapy (called BLT), methylphenidate, and/or melatonin, can help improve sleep and other related symptoms such as fatigue, anxiety, and depression in cancer patients. This is an investigational study. In this study, BLT, Methylphenidate and Melatonin will be compared to their placebos.