3期

最新文章

• Efficient Ranking and Selection in Parallel Computing Environments AI翻译
  作者：Ni, Eric C.; Ciocan, Dragos F.; Henderson, Shane G.; Hunter, Susan R.
  作者单位：Cornell University; INSEAD Business School; Purdue University System; Purdue University
  摘要：The goal of ranking and selection (R&S) procedures is to identify the best stochastic system from among a finite set of competing alternatives. Such procedures require constructing estimates of each system's performance, which can be obtained simultaneously by running multiple independent replications on a parallel computing platform. Nontrivial statistical and implementation issues arise when designing R&S procedures for a parallel computing environment. We propose several design principles f...
• A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties AI翻译
  作者：Zavala, Victor M.; Kim, Kibaek; Anitescu, Mihai; Birge, John
  作者单位：University of Wisconsin System; University of Wisconsin Madison; United States Department of Energy (DOE); Argonne National Laboratory; University of Chicago
  摘要：We argue that deterministic market clearing formulations introduce arbitrary distortions between day-ahead and expected real-time prices that bias economic incentives. We extend and analyze a previously proposed stochastic clearing formulation in which the social surplus function induces penalties between day-ahead and real-time quantities. We prove that the formulation yields price bounded price distortions, and we show that adding a similar penalty term to transmission flows and phase angles...
• Mechanism and Network Design with Private Negative Externalities AI翻译
  作者：Belloni, Alexandre; Deng, Changrong; Pekec, Sasa
  作者单位：Duke University; Analysis Group Inc.
  摘要：A revenue-maximizing monopolist is selling a single indivisible good to buyers who face a loss if any of its rival buyers obtain it. The rivalry is modeled through a network, an arc between a pair of buyers indicates that a buyer considers another buyer its rival, and the magnitude of the loss is the private information of each buyer. This loss-exposure due to competitive considerations can be viewed as a negative externality. First, using a Myersonian approach we derive the monopolist's optim...
• Regenerator Location Problem in Flexible Optical Networks AI翻译
  作者：Yildiz, Baris; Karasan, Oya Ekin
  作者单位：Koc University; Ihsan Dogramaci Bilkent University
  摘要：In this study, we introduce the regenerator location problem in flexible optical networks. With a given traffic demand, the regenerator location problem in flexible optical networks considers the regenerator location, routing, bandwidth allocation, and modulation selection problems jointly to satisfy data transfer demands with the minimum cost regenerator deployment. We propose a novel branch-and-price algorithm for this challenging problem. Using real-world network topologies, we conduct exte...
• Relation Between EBA and Nested Logit Models AI翻译
  作者：Kohli, Rajeev; Jedidi, Kamel
  作者单位：Columbia University
  摘要：We show that elimination by aspects (EBA) generalizes nested logit and cross nested logit models. The latter two models are equivalent to a special case of EBA called preference trees. The transformations between preference trees and nested logit models become more complex when the utilities of alternatives are functions of covariates. In this case, a simple model in one domain corresponds to a complex model in the other. An extended EBA model, in which the utilities of alternatives are functi...
• Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement AI翻译
  作者：Hong, L. Jeff; Juneja, Sandeep; Liu, Guangwu
  作者单位：City University of Hong Kong; City University of Hong Kong; Tata Institute of Fundamental Research (TIFR)
  摘要：Nested estimation involves estimating an expectation of a function of a conditional expectation via simulation. This problem has of late received increasing attention amongst researchers due to its broad applicability particularly in portfolio risk measurement and in pricing complex derivatives. In this paper, we study a kernel smoothing approach. We analyze its asymptotic properties, and present efficient algorithms for practical implementation. While asymptotic results suggest that the kerne...
• Controlling a Fleet of Unmanned Aerial Vehicles to Collect Uncertain Information in a Threat Environment AI翻译
  作者：Xia, Yan; Batta, Rajan; Nagi, Rakesh
  作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：Unmanned aerial vehicles (UAVs) have been proved to be successful and efficient for information collection in a modern battlefield, especially in areas that are considered to be dangerous for human pilots. Currently, a UAV is remotely controlled by a ground station through frequent data communications, which make the current system vulnerable in a threat environment. We propose a decentralized control strategy while requiring UAVs to maintain radio silence during the entire mission. The strate...
• Optimal Award Scheme in Innovation Tournaments AI翻译
  作者：Ales, Laurence; Cho, Soo-Haeng; Korpeoglu, Ersin
  作者单位：Carnegie Mellon University; University of London; University College London
  摘要：In an innovation tournament, an organizer solicits innovative ideas from a number of independent agents. Agents exert effort to develop their solutions, but their outcomes are unknown due to technical uncertainty and/or subjective evaluation criteria. To incentivize agents to make their best effort, the organizer needs to devise a proper award scheme. While extant literature either assumes a winner-take-all scheme a priori or shows its optimality under specific distributions for uncertainty, t...
• On Integral Policies in Deterministic and Stochastic Distribution Systems AI翻译
  作者：Bo, Yang; Dawande, Milind; Janakiraman, Ganesh; McCormick, S. Thomas
  作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Dallas; University of British Columbia
  摘要：The integrality question for dynamic optimization models of inventory control asks if there exists an integral optimal policy, given integral initial inventory levels, capacities, and demand realizations. One practical implication of this question lies in whether or not full-truckload (FTL) shipping is optimal if customer demand is in integral number of truckloads. In this paper, we investigate the integrality question in single product, multiechelon distribution systems and show that integral...
• Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs AI翻译
  作者：Grushka-Cockayne, Yael; Lichtendahl, Kenneth C., Jr.; Jose, Victor Richmond R.; Winkler, Robert L.
  作者单位：University of Virginia; Georgetown University; Duke University
  摘要：From forecasting competitions to conditional value-at-risk requirements, the use of multiple quantile assessments is growing in practice. To evaluate them, we use a rule from the general class of proper scoring rules for a forecaster's multiple quantiles of a single uncertain quantity of interest. The general rule is additive in the component scores. Each component contains a function that measures its quantile's distance from the realization and weights its contribution to the overall score. ...