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作者：Bu, Jinzhi; Gong, Xiting; Chao, Xiuli
作者单位：Hong Kong Polytechnic University; Chinese University of Hong Kong; University of Michigan System; University of Michigan
摘要：We consider three classes of inventory systems under long-run average cost: (i) periodic-review systems with lost sales, positive lead times, and a nonstationary demand process; (ii) periodic-review systems for a perishable product with partial backorders and a nonstationary demand process; and (iii) continuous-review systems with fixed lead times, Poisson demand process, and lost sales. The state spaces for these systems are multidimensional, and computations of their optimal control policies...
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作者：Feng, Yiding; Niazadeh, Rad; Saberi, Amin
作者单位：University of Chicago; Stanford University
摘要：Motivated by the applications of rental services in e-commerce, we consider revenue maximization in online assortment of reusable resources for a stream of arriving consumers with different types. We design competitive online algorithms with respect to the optimum online policy in the Bayesian setting in which types are drawn independently from known heterogeneous distributions over time. In the regime where the minimum of initial inventories cmin is large, our main result is a near-optimal 1....
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作者：Wang, Shouqiang; de Vericourt, Francis; Sun, Peng
作者单位：University of Texas System; University of Texas Dallas; European School of Management & Technology; Duke University
摘要：In this paper, we explore how to uncover an adverse issue that may occur in organizations with the capability to evade detection. To that end, we formalize the problem of designing efficient auditing and remedial strategies as a dynamic mechanism design model. In this setup, a principal seeks to uncover and remedy an issue that occurs to an agent at a random point in time and that harms the principal if not addressed promptly. Only the agent observes the issue's occurrence, but the principal m...
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作者：Hu, Feihong; Mitchell, Daniel; Tompaidis, Stathis
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; Office of Financial Research; United States Department of the Treasury
摘要：We study networks of financial institutions where only aggregate information on liabilities is available. We introduce the robust liability network, that is, the network with the worst expected losses among all networks with the same aggregate liabilities and assets. We provide an algorithm to identify the robust liability network and, using aggregate data provided by bank holding companies to the Federal Reserve in form FR Y -9C, determine robust liability networks for U.S. banks under variou...
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作者：Yan, Xiaoyue; Chen, Li; Ding, Xiaobo
作者单位：University of Oregon; Cornell University
摘要：Payables finance, also known as reverse factoring or supply chain finance, is a form of trade finance arrangement that provides a supplier with the option to receive a buyer's payables early while allowing the buyer to extend its payment due date. The recent adoption of the blockchain technology has the potential to make payables finance more efficient and secure. In this paper, we study the supplier's optimal cash policy under such a frictionless payables finance arrangement. Our work extends...
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作者：Jaarsveld, Willem van; Arts, Joachim
作者单位：Eindhoven University of Technology; University of Luxembourg
摘要：We consider the canonical periodic review lost sales inventory system with positive lead times and stochastic i.i.d. demand under the average cost criterion. We introduce a new policy that places orders such that the expected inventory level at the time of arrival of an order is at a fixed level and call it the projected inventory-level policy. We prove that this policy has a cost rate superior to the equivalent system where excess demand is backordered instead of lost and therefore, is asympt...
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作者：Han, Jinhui; Li, Xiaolong; Sethi, Suresh P.; Siu, Chi Chung; Yam, Sheung Chi Phillip
作者单位：Peking University; University of Hong Kong; University of Texas System; University of Texas Dallas; Hang Seng University of Hong Kong; Chinese University of Hong Kong
摘要：We consider continuous -review, single -product inventory systems with a constant replenishment rate, Levy demand, general inventory holding cost, and general lostsales penalty. The Levy demand encompasses various demand dynamics used in the inventory literature. We obtain optimal replenishment rates that minimize the timeaverage cost and expected discounted costs. We can solve this problem explicitly for the optimal replenishment rate by utilizing the renewal theorem for the time -average cos...
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作者：Perchet, Vianney; Rigollet, Philippe; Le Gouic, Thibaut
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Massachusetts Institute of Technology (MIT)
摘要：We describe an efficient algorithm to compute solutions for the general twoplayer Blotto game on n battlefields with heterogeneous values. Whereas explicit constructions for such solutions have been limited to specific, largely symmetric or homogeneous setups, this algorithmic resolution covers the most general situation to date: a valueasymmetric game with an asymmetric budget with sufficient symmetry and homogeneity. The proposed algorithm rests on recent theoretical advances regarding Sinkh...
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作者：Lo, Andrew W.; Wu, Lan; Zhang, Ruixun; Zhao, Chaoyi
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); The Santa Fe Institute; Peking University; Peking University; Peking University; Peking University
摘要：We develop a mathematical framework for constructing optimal impact portfolios and quantifying their financial performance by characterizing the returns of impactranked assets using induced order statistics and copulas. The distribution of induced order statistics can be represented by a mixture of order statistics and uniformly distributed random variables, where the mixture function is determined by the dependence structure between residual returns and impact factors-characterized by copulas...
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作者：Wang, Zhengchao; Peura, Heikki; Wiesemann, Wolfram
作者单位：Imperial College London; Aalto University
摘要：When a firm selects an assortment of products to offer to customers, it uses a choice model to anticipate their probability of purchasing each product. In practice, the estimation of these models is subject to statistical errors, which may lead to significantly suboptimal assortment decisions. Recent work has addressed this issue using robust optimization, where the true parameter values are assumed unknown and the firm chooses an assortment that maximizes its worst -case expected revenues ove...
