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作者：Goh, Joel; Bayati, Mohsen; Zenios, Stefanos A.; Singh, Sundeep; Moore, David
作者单位：National University of Singapore; Harvard University; Stanford University; Stanford University; Stanford University
摘要：Cost-effectiveness studies of medical innovations often suffer from data inadequacy. When Markov chains are used as a modeling framework for such studies, this data inadequacy can manifest itself as imprecision in the elements of the transition matrix. In this paper, we study how to compute maximal and minimal values for the discounted value of the chain (with respect to a vector of state-wise costs or rewards) as these uncertain transition parameters jointly vary within a given uncertainty se...
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作者：Chen, Xin; Gao, Xiangyu; Pang, Zhan
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong; City University of Hong Kong
摘要：A common technical challenge encountered in many operations management models is that decision variables are truncated by some random variables and the decisions are made before the values of these random variables are realized, leading to non-convex minimization problems. To address this challenge, we develop a powerful transformation technique that converts a nonconvex minimization problem to an equivalent convex minimization problem. We show that such a transformation enables us to prove th...
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作者：Feldman, Jacob; Topaloglu, Huseyin
作者单位：Washington University (WUSTL)
摘要：We study capacitated assortment problems when customers choose under the multinomial logit model with nested consideration sets. In this choice model, there are multiple customer types, and a customer of a particular type is interested in purchasing only a particular subset of products. We use the term consideration set to refer to the subset of products that a customer of a particular type is interested in purchasing. The consideration sets of customers of different types are nested in the se...
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作者：Kim, Jeunghyun; Randhawa, Ramandeep S.
作者单位：University of Southern California
摘要：We study the value of dynamic pricing to maximize revenues in queueing systems with price-and delay-sensitive customers. The system queue length is visible so that upon arrival, customers decide to join the system based on the congestion and the price at that time. We analyze this problem in the asymptotic regime of large customer market size and capacity. We find that dynamic pricing performs significantly better than static pricing at mitigating the effect of uncertainty. Asymptotically, the...
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作者：Peng, Yijie; Fu, Michael C.; Hu, Jian-Qiang; Heidergott, Bernd
作者单位：Peking University; University System of Maryland; University of Maryland College Park; Fudan University; Vrije Universiteit Amsterdam
摘要：In this paper, we propose a new unbiased stochastic derivative estimator in a framework that can handle discontinuous sample performances with structural parameters. This work extends the three most popular unbiased stochastic derivative estimators: (1) infinitesimal perturbation analysis (IPA), (2) the likelihood ratio (LR) method, and (3) the weak derivative method, to a setting where they did not previously apply. Examples in probability constraints, control charts, and financial derivative...
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作者：Luo, Yuan; Shah, Nihar B.; Huang, Jianwei; Walrand, Jean
作者单位：Imperial College London; Chinese University of Hong Kong; Chinese University of Hong Kong; University of California System; University of California Berkeley
摘要：We consider a problem of prediction based on opinions elicited from heterogeneous rational agents with private information. Making an accurate prediction with a minimal cost requires a joint design of the incentive mechanism and the prediction algorithm. To elicit heterogeneous agents' private information and incentivize agents with different capabilities to act in the principal's best interest, we design an optimal joint incentive mechanism and prediction algorithm called COPE (COst and Predi...
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作者：Chan, Timothy C. Y.; Shen, Zuo-Jun Max; Siddiq, Auyon
作者单位：University of Toronto; University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：Sudden cardiac arrest is a significant public health concern. Successful treatment of cardiac arrest is extremely time sensitive, and use of an automated external defibrillator (AED) where possible significantly increases the probability of survival. Placement of AEDs in public locations can improve survival by enabling bystanders to treat victims of cardiac arrest prior to the arrival of emergency medical responders, thus shortening the time between collapse and treatment. However, since the ...
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作者：Ning, Jie; Babich, Volodymyr; Handley, John; Keppo, Jussi
作者单位：University System of Ohio; Case Western Reserve University; Georgetown University; University of Rochester; National University of Singapore; National University of Singapore
摘要：Managed print service (MPS) is a type of information technology infrastructure service that provides centralized management of companies' printing device fleets. In this paper, we estimate the provider's risk preference in MPS using a proprietary data set from Xerox Corporation. We adopt a structural approach in our empirical analysis by modeling the contracting and usage processes of MPS as a two-stage screening game and building econometric models based on the equilibrium contracts and print...
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作者：Wagner, Michael R.
作者单位：University of Washington; University of Washington Seattle
摘要：We formulate and solve static and dynamic models of inventory management that lie at the intersection of robust optimization and optimal control theory. Our objective is to minimize cumulative ordering, holding, and shortage costs over a horizon [0, T], where the variable is a nonnegative ordering rate function q(t) is an element of L-2[0, T]. The demand rate function d(t) is unknown and is only assumed to belong to an uncertainty set Omega={d(t)is an element of L-2[0,T]:mu(a) <= (1/T) integra...
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作者：Noyan, Nilay; Rudolf, Gabor
作者单位：Sabanci University; Koc University
摘要：It is of crucial importance to develop risk-averse models for multicriteria decision making under uncertainty. A major stream of the related literature studies optimization problems that feature multivariate stochastic benchmarking constraints. These problems typically involve a univariate stochastic preference relation, often based on stochastic dominance or a coherent risk measure such as conditional value-at-risk, which is then extended to allow the comparison of random vectors by the use o...
