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作者：Saure, Denis; Vielma, Juan Pablo
作者单位：Universidad de Chile; Massachusetts Institute of Technology (MIT)
摘要：Questionnaires for adaptive choice-based conjoint analysis aim at minimizing some measure of the uncertainty associated with estimates of preference parameters (e.g., partworths). Bayesian approaches to conjoint analysis quantify this uncertainty with a multivariate distribution that is updated after the respondent answers. Unfortunately, this update often requires multidimensional integration, which effectively reduces the adaptive selection of questions to impractical enumeration. An alterna...
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作者：Bimpikis, Kostas; Ehsani, Shayan; Mostagir, Mohamed
作者单位：Stanford University; Stanford University; University of Michigan System; University of Michigan
摘要：Participants race toward completing an innovation project and learn about its feasibility from their own efforts and their competitors' gradual progress. Information about the status of competition can alleviate some of the uncertainty inherent in the contest, but it can also adversely affect effort provision from the laggards. This paper explores the problem of designing the award structure of a contest and its information disclosure policy in a dynamic framework and provides a number of guid...
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作者：Kohli, Rajeev; Boughanmi, Khaled; Kohli, Vikram
作者单位：Columbia University; Northwestern University
摘要：The inference of a lexicographic rule from paired comparisons, ranking, or choice data is a discrete optimization problem that generalizes the linear ordering problem. We develop an approach to its solution using randomized algorithms. First, we show that maximizing the expected value of a randomized solution is equivalent to solving the lexicographic inference problem. As a result, the discrete problem is transformed into a continuous and unconstrained nonlinear program that can be solved, po...
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作者：Haase, Knut; Kasper, Mathias; Koch, Matthes; Mueller, Sven
作者单位：University of Hamburg; Technische Universitat Dresden; Karlsruhe University of Applied Sciences
摘要：The Hajj-the great pilgrimage to Mecca, Saudi Arabia-is one of the five pillars of Islam. Up to four million pilgrims perform the Hajj rituals every year. This makes it one of the largest pedestrian problems in the world. Ramy al-Jamarat-the symbolic stoning of the devil-is known to be a particularly crowded ritual. Up until 2006, it was repeatedly overshadowed by severe crowd disasters. To avoid such disasters, Saudi authorities initiated a comprehensive crowd management program. A novel cont...
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作者：Zhang, Gongqiu; Li, Lingfei
作者单位：The Chinese University of Hong Kong, Shenzhen; Chinese University of Hong Kong
摘要：Continuous time Markov chain (CTMC) approximation is an intuitive and powerful method for pricing options in general Markovian models. This paper analyzes how grid design affects the convergence behavior of barrier and European options in general diffusion models. Using the spectral method, we obtain sharp estimates for the convergence rate of option price for nonuniform grids. We propose to calculate an option's delta and gamma by taking central difference of option prices on the grid. For th...
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作者：Kruse, Thomas; Schneider, Judith C.; Schweizer, Nikolaus
作者单位：University of Duisburg Essen; University of Munster; Tilburg University
摘要：In the presence of model risk, it is well established to replace classical expected values with worst-case expectations over all models within a fixed radius from a given reference model. This is the robustness approach. For the class of F-divergences, we provide a careful assessment of how the interplay between reference model and divergence measure shapes the contents of uncertainty sets. We show that the classical divergences, relative entropy and polynomial divergences, are inadequate for ...
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作者：Kunnumkal, Sumit; Martinez-de-Albeniz, Victor
作者单位：Queens University - Canada; University of Navarra; IESE Business School
摘要：Assortment planning under a logit demand model is a difficult problem when there are product-specific fixed costs. We develop a new continuous relaxation of the problem that is based on the parametrization of the problem on the total assortment attractiveness. This relaxation provides an upper bound on the optimal expected profit. We show that the upper bound can be computed efficiently and allows us to generate feasible solutions with attractive performance guarantees. We analytically prove t...
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作者：Luo, Wei; Shang, Kevin H.
作者单位：University of Navarra; IESE Business School; Duke University
摘要：This paper considers a firm that periodically orders inventory to satisfy demand in a finite horizon. The firm operates under two-level trade credit-that is, it offers trade credit to its customer while receiving one from its supplier. In addition to standard inventory-related costs, the firm also incurs periodic cash-related costs, which include a deficit penalty cost due to cash shortage and an interest gain (negative cost) due to excess cash after inventory payments. The objective is to obt...
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作者：Dan, Teodora; Marcotte, Patrice
作者单位：Universite de Montreal
摘要：In a competitive environment, we consider the problem faced by a service firm that makes decisions with respect to both the location and service levels of its facilities, taking into account that users patronize the facility that maximizes their individual utility, expressed as the sum of travel time, queueing delay, and a random term. This situation can be modelled as a bilevel program that involves discrete and continuous variables as well as linear and nonlinear (convex and nonconvex) funct...
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作者：Bertsimas, Dimitris; Delarue, Arthur; Jaillet, Patrick; Martin, Sebastien
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Twenty-first century urban planners have identified the understanding of complex city traffic patterns as a major priority, leading to a sharp increase in the amount and the diversity of traffic data being collected. For instance, taxi companies in an increasing number of major cities have started recording metadata for every individual car ride, such as its origin, destination, and travel time. In this paper, we show that we can leverage network optimization insights to extract accurate trave...
