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作者：Wang, Tong; Gong, Xiting; Zhou, Sean X.
作者单位：Shanghai Jiao Tong University; Chinese University of Hong Kong; Chinese University of Hong Kong
摘要：We study optimal policies for dual-supply inventory systems where a firm commits to buying a total minimum quantity from both supplies or two separate total minimum quantities from each supply over a finite planning horizon. The two supply options differ in their costs and lead times. For the system under the joint commitment, the optimal policy has a simple structure and can be fully characterized by three critical numbers in each period. For the system under the separate commitments, we show...
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作者：Bergman, David; Imbrogno, Jason
作者单位：University of Connecticut
摘要：In this paper, an analytical approach to National Football League (NFL) survival pools Is investigated. This paper Introduces Into the literature NFL survival pools and presents optimization models for determining strategies. Computational results indicate that planning only partway through the season yields the highest survival probabilities, which dominate millions of randomly generated strategies.
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作者：Brown, David B.; Haugh, Martin B.
作者单位：Duke University; Columbia University
摘要：We consider the information relaxation approach for calculating performance bounds for stochastic dynamic programs (DPs), following Brown et al. [Brown DB, Smith JE, Sun P (2010) Information relaxations and duality In stochastic dynamic programs. Oper. Res. 58(4, Part 1):785-801]. This approach generates performance bounds by solving problems with relaxed nonanticipativity constraints and a penalty that punishes violations of these constraints. In this paper, we study infinite horizon DPs with...
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作者：Huang, Junfei; Mandelbaum, Avishai; Zhang, Hanqin; Zhang, Jiheng
作者单位：Chinese University of Hong Kong; Technion Israel Institute of Technology; National University of Singapore; Hong Kong University of Science & Technology
摘要：Data has revealed a noticeable Impact of delay-time-related information on phone-customers; for example and somewhat surprisingly, delay announcements can abruptly increase the likelihood to abandon (hang up). Our starting point is that the latter phenomena can be used to support the control of queue lengths and delays. We do so by timing the announcements appropriately and determining the staffing levels accordingly. To this end, we model a service system as an overloaded GI/M/s+GI queue, in ...
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作者：Tsitsiklis, John N.; Xu, Kuang
作者单位：Massachusetts Institute of Technology (MIT); Stanford University
摘要：We study a multiserver model with n flexible servers and n queues, connected through a bipartite graph, where the level of flexibility is captured by an upper bound on the graph's average degree, d(n). Applications in content replication in data centers, skill-based routing in call centers, and flexible supply chains are among our main motivations. We focus on the scaling regime where the system size n tends to infinity, while the overall traffic intensity stays fixed. We show that a large cap...
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作者：Ang, Marcus; Sigman, Karl; Song, Jing-Sheng; Zhang, Hanqin
作者单位：Singapore Management University; Columbia University; Duke University; National University of Singapore
摘要：We consider a single-item continuous-review (r, q) inventory system with a renewal demand process and Independent, identically distributed stochastic lead times. Using a stationary marked-point process technique and a heavy-traffic limit, we prove a previous conjecture that inventory position and inventory on-order are asymptotically independent. We also establish closed-form expressions for the optimal policy parameters and system cost in heavy-traffic limit, the first of their kind, to our k...
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作者：Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun
作者单位：Korea Advanced Institute of Science & Technology (KAIST)
摘要：In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model-a single asset model with a multidimensional Wishart variance process. Our method Is based on analysis of the conditional characteristic function of the log-price given a terminal volatility level. In particular, we found an explicit expression for the conditional characteristic function for the Heston model. Numerical experiments demonstrate that our new method Is much fas...
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作者：Lu, Tao; Fransoo, Jan C.; Lee, Chung-Yee
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Eindhoven University of Technology; Hong Kong University of Science & Technology
摘要：Many seasonal products are transported via ocean carriers from origin to destination markets. The shipments arriving earlier in the market may sell at higher prices, but faster shipping services can be costly. In this paper, we study a newsvendor-type shipper who transports and sells seasonal products to an overseas market, where the selling price declines over time. A set of vessels with different schedules and freight rates are available to choose from. Our analysis demonstrates that a portf...
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作者：Boland, Natashia; Hewitt, Mike; Marshall, Luke; Savelsbergh, Martin
作者单位：University System of Georgia; Georgia Institute of Technology; Loyola University Chicago
摘要：Consolidation carriers transport shipments that are small relative to trailer capacity. To be cost effective, the carrier must consolidate shipments, which requires coordinating their paths in both space and time; i.e., the carrier must solve a service network design problem. Most service network design models rely on discretization of time-i.e., instead of determining the exact time at which a dispatch should occur, the model determines a time interval during which a dispatch should occur. Wh...
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作者：Feldman, Jacob B.; Topaloglu, Huseyin
作者单位：Washington University (WUSTL)
摘要：We consider revenue management problems when customers choose among the offered products according to the Markov chain choice model. In this choice model, a customer arrives Into the system to purchase a particular product. If this product Is available for purchase, then the customer purchases It. Otherwise, the customer transitions to another product or to the no purchase option, until she reaches an available product or the no purchase option. We consider three classes of problems. First, we...
