-
作者：Simsek, A. Serdar; Topaloglu, Huseyin
作者单位：University of Texas System; University of Texas Dallas
摘要：We develop an expectation-maximization algorithm to estimate the parameters of the Markov chain choice model. In this choice model, a customer arrives into the system to purchase a certain product. If this product is available for purchase, then the customer purchases it. Otherwise, the customer transitions between the products according to a transition probability matrix until she reaches an available one and purchases this product. The parameters of the Markov chain choice model are the prob...
-
作者：Xu, Zhou; Lee, Chung-Yee
作者单位：Hong Kong Polytechnic University; Hong Kong University of Science & Technology
摘要：We study a continuous berth allocation problem, where incoming vessels need to be assigned a mooring time as well as a berth location on a quay. It is a crucial element in port planning to achieve quick turnaround time for vessels. To solve this problem, many solution methods have been developed in the literature. However, gaps between the best-known lower and upper bounds on its optimal solutions are far from close. In this paper, we propose new and more effective solution methods for this im...
-
作者：McCardle, Kevin F.; Tsetlin, Ilia; Winkler, Robert L.
作者单位：University of California System; University of California Los Angeles; INSEAD Business School; Duke University
摘要：We investigate the cost of the opportunity delayed by working on one project with uncertain success rather than searching for a new project. We answer this question: How long should a firm work on a research project with uncertain success before abandoning it if the only alternative is to search for a new project to work on? Rather than treating the opportunity as an exogenous alternative, this approach endogenizes the opportunity value and the attendant cost of its delay. We consider cases wi...
-
作者：Postek, Krzysztof; Ben-Tal, Aharon; den Hertog, Dick; Melenberg, Bertrand
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Technion Israel Institute of Technology; Shenkar College of Engineering, Design & Art; Tilburg University; Tilburg University; Tilburg University
摘要：In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean (MAD). This makes it possible to use the 1972 result of Ben-Tal and Hochman (BH) m which tight upper and lower bounds on the expectation of a convex function of a random variable are given. First, we use t...
-
作者：Strinka, Zohar M. A.; Romeijn, H. Edwin
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We study a class of problems with both binary selection decisions and associated continuous choices that result in stochastic rewards and costs. The rewards are received based on the decision maker's selection, and the costs depend both on the decisions and realizations of the stochastic variables. We consider a family of risk-based objective functions that contains the traditional risk-neutral expected-value objective as a special case. A combination of rounding and sample average approximati...
-
作者：Hanasusanto, Grani A.; Kuhn, Daniel
作者单位：University of Texas System; University of Texas Austin; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Adaptive robust optimization problems are usually solved approximately by restricting the adaptive decisions to simple parametric decision rules. However, the corresponding approximation error can be substantial. In this paper we show that two-stage robust and distributionally robust linear programs can often be reformulated exactly as conic programs that scale polynomially with the problem dimensions. Specifically, when the ambiguity set constitutes a 2-Wasserstein ball centered at a discrete...
-
作者：Aswani, Anil; Shen, Zuo-Jun (Max); Siddiq, Auyon
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of California System; University of California Los Angeles
摘要：Inverse optimization refers to the inference of unknown parameters of an optimization problem based on knowledge of its optimal solutions. This paper considers inverse optimization in the setting where measurements of the optimal solutions of a convex optimization problem are corrupted by noise. We first provide a formulation for inverse optimization and prove it to be NP-hard. In contrast to existing methods, we show that the parameter estimates produced by our formulation are statistically c...
-
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...
