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作者：Sinclair, Sean R.; Jain, Gauri; Banerjee, Siddhartha; Yu, Christina Lee
作者单位：Cornell University
摘要：We consider the problem of dividing limited resources to individuals arriving over T rounds. Each round has a random number of individuals arrive, and individuals can be characterized by their type (i.e., preferences over the different resources). A standard notion of fairness in this setting is that an allocation simultaneously satisfy envy-freeness and efficiency. The former is an individual guarantee, requiring that each agent prefers the agent's own allocation over the allocation of any ot...
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作者：Huchette, Joey; Vielma, Juan Pablo
作者单位：Rice University; Massachusetts Institute of Technology (MIT)
摘要：We present novel mixed-integer programming (MIP) formulations for optimization over nonconvex piecewise linear functions. We exploit recent advances in the systematic construction of MIP formulations to derive new formulations for univariate functions using a geometric approach and for bivariate functions using a combinatorial approach. All formulations are strong, small (so-called logarithmic formulations), and have other desirable computational properties. We present extensive experiments in...
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作者：Liguori, Pedro Henrique; Mahjoub, A. Ridha; Marques, Guillaume; Sadykov, Ruslan; Uchoa, Eduardo
作者单位：Kuwait University; Universite de Bordeaux; Universidade Federal Fluminense
摘要：The capacitated location-routing problem consists in, given a set of locations and a set of customers, determining in which locations one should install depots with limited capacity, and for each depot, design a number of routes to supply customer demands. We provide a formulation that includes depot variables, edge variables, assignment variables, and an exponential number of route variables, together with some new families of valid inequalities, leading to a branch-cut-and-price algorithm. T...
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作者：Edirisinghe, Chanaka; Chen, Jingnan; Jeong, Jaehwan
作者单位：Rensselaer Polytechnic Institute; Beihang University; Radford University
摘要：We study optimal portfolio choice under leveraging to improve portfolio performance when trade execution faces market impact. We consider a quasi-elastic market with continuous trading in which temporary liquidity costs are sufficiently large relative to permanent impact. The resulting convex optimization model is used to show analytically that an unlevered portfolio maximizing the Sharpe ratio is no longer a tangency portfolio, and increasing the portfolio target mean leads to severely underm...
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作者：Sturt, Bradley
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal stopping problems with known probability distributions. The approach uses simulation to construct a robust optimization problem that approximates the stochastic optimal stopping problem to any arbitrary accuracy; we then solve the robust optimization problem to ob...
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作者：Spliet, Remy
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：State-of-the-art exact algorithms for vehicle routing problems are branch-price-and-cut algorithms that make use of a set partitioning formulation. Only exponential time algo-rithms are known for the corresponding pricing problem. In this technical note, it is proven that the pricing problem is strongly NP-hard for various vehicle routing problems. This justi-fies the common use of route relaxations that modify the set partitioning formulation with the aim to allow pseudopolynomial pricing alg...
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作者：Chuang, Ya-Tang; Kim, Michael Jong
作者单位：National Cheng Kung University; University of British Columbia
摘要：We investigate Bayesian inventory control problems where parameters of the demand distribution are not known a priori but need to be learned using right-censored sales data. A Bayesian framework is adopted for demand learning, and the corresponding control problem is analyzed via Bayesian dynamic programming (BDP). In the Bayesian setting, it is known that the BDP-optimal decision is equal to the sum of the myopic-optimal decision plus a nonnegative exploration boost. The goal of this paper is...
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作者：Nadar, Emre; Akan, Mustafa; Debo, Laurens; Scheller-Wolf, Alan
作者单位：Ihsan Dogramaci Bilkent University; Carnegie Mellon University; Dartmouth College
摘要：We consider a single-product remanufacture-to-order system with multiple uncertain quality levels for used items, random procurement lead times, and lost sales. The quality level of a used item is revealed only after it is acquired and inspected; the remanufacturing cost is lower for a higher-quality item. We model this system as a Markov decision process and seek an optimal policy that specifies when a used item should be procured, whether an arriving demand for the remanufactured product sho...
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作者：Ozkan, Erhun; van Houtum, Geert-Jan
作者单位：Koc University; Eindhoven University of Technology
摘要：We study inventory and repair scheduling decisions of a maintenance service provider for repairable capital goods. Because of high downtime costs, the service provider keeps spare parts on stock to replace broken parts quickly. The service provider should determine the inventory level of spare parts for each component and the repair scheduling policy. Furthermore, in case of a stock-out, the service provider should decide whether to back-order the demand or execute an emergency repair, which i...
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作者：Aymanns, Christoph; Georg, Co-Pierre; Golubc, Benjamin
作者单位：Universite Catholique de Lille; EDHEC Business School; Northwestern University
摘要：Strategic agents choose whether to be active in networked markets. The value of being active depends on the activity choices of specific counterparties. Several markets are coupled when agents' participation decisions are complements across markets. We model the problem of an analyst assessing the robustness of coupled networked markets during a crisis-an exogenous negative payoff shock-based only on partial information about the network structure. We give conditions under which exit spirals e...
