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作者：Cao, Yufeng; Kleywegt, Anton J.; Wang, He
作者单位：Shanghai Jiao Tong University; University System of Georgia; Georgia Institute of Technology
摘要：Airline booking data have shown that the fraction of customers who choose the cheapest available fare class often is much greater than that predicted by the multinomial logit choice model calibrated with the data. For example, the fraction of customers who choose the cheapest available fare class is much greater than the fraction of customers who choose the next cheapest available one, even if the price difference is small. To model this spike in demand for the cheapest available fare class, a...
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作者：Baek, Jackie; Ma, Will
作者单位：Massachusetts Institute of Technology (MIT); Columbia University
摘要：Network revenue management (NRM) describes a general online allocation problem in which combinations of capacity-constrained resources are sold to a stream of arriving customers. Existing papers propose one-size-fits-all methods for controlling the resource capacities over time. In this paper, we study how different methods can be used to control different resource constraints based on the network structure of each instance. Specifically, we propose a heuristic that bifurcates the resources of...
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作者：Banerjee, Tathagata; Feinstein, Zachary
作者单位：Washington University (WUSTL); Stevens Institute of Technology
摘要：In this paper, we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound and Jensen???s inequality provides an upper bound to the price of debt under Eisenberg-Noe financial networks with bankruptcy costs. Such financial networks encode the interconnection of firms through debt claims. The proposed pricing formulas consider the realized, endogenous recovery rate on de...
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作者：Farahani, Mehdi H.; Dawande, Milind; Janakiraman, Ganesh
作者单位：University of Miami; University of Texas System; University of Texas Dallas
摘要：We study the problem of managing queues in online food-ordering services where customers, who place orders online and pick up at the store, are offered a common quote time, that is, the promised pick-up time minus the time the order is placed. The objective is to minimize the long-run average expected earliness and tardiness cost incurred by the customers. We introduce the family of static threshold policies for managing such queues. A static threshold policy is one that starts serving the fir...
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作者：Li, Kai; Liu, Jun
作者单位：Macquarie University; Southwestern University of Finance & Economics - China; University of California System; University of California San Diego
摘要：We explicitly solve for the optimal dynamic trading strategy between a riskless asset and a risky asset with momentum. The optimal portfolio weight depends not only on the momentum, as in Merton???s framework, but also on the historical price path; this contrasts with Merton. Because of their path dependence, optimal portfolio weights have a wide distribution for a given level of momentum; for example, investors may short the risky asset if it has rebound price paths but leverage if it has hum...
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作者：Das, Milan Kumar; Tsai, Henghsiu; Kyriakou, Ioannis; Fusai, Gianluca
作者单位：Academia Sinica - Taiwan; City St Georges, University of London; University of Eastern Piedmont Amedeo Avogadro; City St Georges, University of London
摘要：In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou [(2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3):540???554] for accurately approximating the probability distribution of a weighted stochastic sum or time integral under general one-dimensional Markov processes. Since then, Song, Cai, and Kou [(2018) Computable error bounds of Laplace inversion for pricing Asian options. INFORMS J. Comput. 30(4):625???786] a...
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作者：Feldman, Jacob; Segev, Danny
作者单位：Washington University (WUSTL); Tel Aviv University
摘要：In this paper, we consider the assortment problem under the multinomial logit (MNL) model with sequential offerings recently proposed by Liu et al. [INFORMS J. Comput., 2020] to capture a multitude of applications, ranging from appointment scheduling in hospitals, restaurants, and fitness centers to product recommendations in e-commerce settings. In this problem, the purchasing dynamics of customers sequentially unfold over T stages. Within each stage, the retailer selects an assortment of pro...
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作者：Anderson, Edward; Chen, Bo; Shao, Lusheng
作者单位：University of Sydney; Imperial College London; University of Warwick; University of Melbourne
摘要：We introduce a general model for suppliers competing for a buyer's procurement business. The buyer faces uncertain demand, and there is a requirement to reserve capacity in advance of knowing the demand. Each supplier has costs that are twodimensional, with some capacity costs incurred prior to production and some production costs incurred at the time of delivery. These costs are general functions of quantity, and this naturally leads us to a supply function competition framework in which each...
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作者：Shahmoradi, Zahed; Lee, Taewoo
作者单位：University of Houston System; University of Houston
摘要：Inverse linear programming (LP) has received increasing attention because of its potential to infer efficient optimization formulations that can closely replicate the behavior of a complex system. However, inversely inferred parameters and corresponding forward solutions from the existing inverse LP methods can be highly sensitive to noise, errors, and uncertainty in the input data, limiting their applicability in data-driven settings. We introduce the notion of inverse and forward stability i...
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作者：Zhu, Ziwei; Li, Xudong; Wang, Mengdi; Zhang, Anru
作者单位：University of Michigan System; University of Michigan; Fudan University; Fudan University; Princeton University; Princeton University; University of Wisconsin System; University of Wisconsin Madison; Duke University
摘要：Modeling unknown systems from data is a precursor of system optimization and sequential decision making. In this paper, we focus on learning a Markov model from a single trajectory of states. Suppose that the transition model has a small rank despite having a large state space, meaning that the system admits a low-dimensional latent structure. We show that one can estimate the full transition model accurately using a trajectory of length that is proportional to the total number of states. We p...
