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作者：Gianfreda, Angelica; Bunn, Derek
作者单位：University of London; London Business School; Free University of Bozen-Bolzano; University of London; London Business School
摘要：The wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since hourly price densities for electricity exhibit a variety of shapes, with their characteristic features changing substantially within the day and evolving over time. Furthermore, the influx of renewable power, wind, and solar, in particular, has made th...
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作者：Lee, Joosung
作者单位：University of Edinburgh
摘要：We introduce a new noncooperative multilateral bargaining model for network-restricted environments in which players can bargain only with their neighbors. The main theorem characterizes a condition on network structures for efficient equilibria. If the underlying network is either complete or circular, an efficient stationary subgame perfect equilibrium exists for all discount factors-all the players always try to reach an agreement as soon as practicable, and hence no strategic delay occurs....
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作者：Bayati, Mohsen; Montanari, Andrea; Saberi, Amin
作者单位：Stanford University; Stanford University; Stanford University; Stanford University; Stanford University; Stanford University
摘要：Random graph generation is an important tool for studying large complex networks. Despite abundance of random graph models, constructing models with application-driven constraints is poorly understood. To advance state-of-the-art in this area, we focus on random graphs without short cycles as a stylized family of graphs, and we propose the RandGraph algorithm for randomly generating them. For any constant k, when m = O(n(1+1/[2k(k+3)])), RandGraph generates an asymptotically uniform random gra...
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作者：He, Xue Dong; Peng, Xianhua
作者单位：Chinese University of Hong Kong; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University
摘要：The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be surplus invariant; i.e., not to depend on the surplus of firms' shareholders, because the test means to protect firms' liability holders. We prove that any surplus-invariant, law-invariant, and conic acceptance set must be the set of capital positions whose value at risk at a given level is less than zero. The result st...
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作者：Zhang, Huanan; Chao, Xiuli; Shi, Cong
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Michigan System; University of Michigan
摘要：We develop the first nonparametric learning algorithm for periodic-review perishable inventory systems. In contrast to the classical perishable inventory literature, we assume that the firm does not know the demand distribution a priori and makes replenishment decisions in each period based only on the past sales (censored demand) data. It is well known that even with complete information about the demand distribution a priori, the optimal policy for this problem does not possess a simple stru...
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作者：Reindorp, Matthew; Tanrisever, Fehmi; Lange, Anne
作者单位：Drexel University; Eindhoven University of Technology; Ihsan Dogramaci Bilkent University; Technical University of Darmstadt
摘要：We study a supply chain where a retailer buys from a supplier who faces financial constraints. Informational problems about the supplier's demand prospects and production capabilities restrict her access to capital. By committing to a minimum purchase quantity, the retailer can mitigate these informational problems and expand the supplier's feasible production set. We assume a newsvendor model of operations and analyze the strategic interaction of the two parties as a sequential game. Key para...
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作者：Nadarajah, Selvaprabu; Secomandi, Nicola
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Carnegie Mellon University
摘要：We formulate the merchant trading of energy in a network of storage and transport assets as a Markov decision process with uncertain energy prices, generalizing known models. Because of the intractability of our model, we develop heuristics and both lower and dual (upper) bounds on the optimal policy value estimated within Monte Carlo simulation. We achieve tractability using linear optimization, extending near optimal approximate dynamic programming techniques for the case of a single storage...
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作者：Aouad, Ali; Levi, Retsef; Segev, Danny
作者单位：University of London; London Business School; Massachusetts Institute of Technology (MIT); University of Haifa
摘要：We study the joint assortment planning and inventory management problem, where stock-out events elicit dynamic substitution effects, described by the multinomial logit (MNL) choice model. Special cases of this setting have been extensively studied in recent literature, notably the static assortment planning problem. Nevertheless, to our knowledge, the general formulation is not known to admit efficient algorithms with analytical performance guarantees before this work, and most of its computat...
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作者：Lobel, Ilan; Leme, Renato Paes; Vladua, Adrian
作者单位：New York University; Alphabet Inc.; Google Incorporated; Boston University
摘要：We consider a multidimensional search problem that is motivated by questions in contextual decision making, such as dynamic pricing and personalized medicine. Nature selects a state from a d-dimensional unit ball and then generates a sequence of d-dimensional directions. We are given access to the directions but not access to the state. After receiving a direction, we have to guess the value of the dot product between the state and the direction. Our goal is to minimize the number of times whe...
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作者：Gauthier, Jean Bertrand; Desrosiers, Jacques; Luebbecke, Marco E.
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; RWTH Aachen University
摘要：We develop an algorithmic framework for linear programming guided by dual optimality considerations. The solution process moves from one feasible solution to the next according to an exchange mechanism that is defined by a direction and a resulting step size. Part of the direction is obtained via a pricing problem devised in primal and dual forms. From the dual perspective, one maximizes the minimum reduced cost that can be achieved from splitting the set of dual variables in two subsets: one ...
