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作者：Kunnumkal, Sumit; Talluri, Kalyan
作者单位：Indian School of Business (ISB); Imperial College London
摘要：In recent years, several approximation methods have been proposed for the choice network revenue management problem. These approximation methods are proposed because the dynamic programming formulation of the choice network revenue management problem is intractable even for moderately sized instances. In this paper, we consider three approximation methods that obtain upper bounds on the value function, namely, the choice deterministic linear program (CDLP), the affine approximation (AF), and t...
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作者：Saghafian, Soroush; Tomlin, Brian
作者单位：Harvard University; Dartmouth College
摘要：Operations managers do not typically have full information about the demand distribution. Recognizing this, data-driven approaches have been proposed in which the manager has no information beyond the evolving history of demand observations. In practice, managers often have some partial information about the demand distribution in addition to demand observations. We consider a repeated newsvendor setting, and propose a maximum-entropy based technique, termed Second Order Belief Maximum Entropy...
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作者：Jaillet, Patrick; Qi, Jin; Sim, Melvyn
作者单位：Massachusetts Institute of Technology (MIT); Hong Kong University of Science & Technology; National University of Singapore
摘要：We consider a class of routing optimization problems under uncertainty in which all decisions are made before the uncertainty is realized. The objective is to obtain optimal routing solutions that would, as much as possible, adhere to a set of specified requirements after the uncertainty is realized. These problems include finding an optimal routing solution to meet the soft time window requirements at a subset of nodes when the travel time is uncertain, and sending multiple capacitated vehicl...
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作者：Bauschke, Heinz H.; Koch, Valentin R.; Phan, Hung M.
作者单位：University of British Columbia; Autodesk, Inc.; University of Massachusetts System; University of Massachusetts Lowell
摘要：The basic optimization problem of road design is quite challenging due to an objective function that is the sum of nonsmooth functions and the presence of set constraints. In this paper, we model and solve this problem by employing the Douglas-Rachford splitting algorithm. This requires a careful study of new proximity operators related to minimizing area and to the stadium norm. We compare our algorithm to a state-of-the-art projection algorithm. Our numerical results illustrate the potential...
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作者：Podinovski, Victor V.; Chambers, Robert G.; Atici, Kazim Baris; Deineko, Iryna D.
作者单位：Loughborough University; University System of Maryland; University of Maryland College Park; Hacettepe University; University of Warwick
摘要：We present a unifying linear programming approach to the calculation of various directional derivatives for a very large class of production frontiers of data envelopment analysis (DEA). Special cases of this include different marginal rates, the scale elasticity, and a spectrum of partial and mixed elasticity measures. Our development applies to any polyhedral production technology including, to name a few, the conventional variable and constant returns-to-scale DEA technologies, their extens...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Bertsimas, Dimitris; King, Angela
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Linear regression models are traditionally built through trial and error to balance many competing goals such as predictive power, interpretability, significance, robustness to error in data, and sparsity, among others. This problem lends itself naturally to a mixed integer quadratic optimization (MIQO) approach but has not been modeled this way because of the belief in the statistics community that MIQO is intractable for large scale problems. However, in the last 25 years (1991-2015), algori...
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作者：Qin, Likuan; Linetsky, Vadim
作者单位：Northwestern University
摘要：This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process, or BRP) and the stochastic discount factor (SDF) is a positive semimartingale multiplicative functional of X. A key result is the uniqueness theorem for a positive eigenfunction of the pricing operator such that X is recurrent under a new probability measure associated with this eigenfunctio...
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作者：Federgruen, Awi; Hu, Ming
作者单位：Columbia University; University of Toronto
摘要：We analyze a general model in which, at each echelon of the supply process, an arbitrary number of firms compete, offering one or multiple products to some or all of the firms at the next echelon, with firms at the most downstream echelon selling to the end consumer. At each echelon, the offered products are differentiated and the firms belonging to this echelon engage in price competition. The model assumes a general set of piecewise linear consumer demand functions for all products (potentia...
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作者：Hu, Zhenyu; Chen, Xin; Hu, Peng
作者单位：National University of Singapore; University of Illinois System; University of Illinois Urbana-Champaign; Huazhong University of Science & Technology
摘要：We study a dynamic pricing problem of a firm facing reference price effects at an aggregate demand level, where demand is more sensitive to gains than losses. We find that even the myopic pricing strategy belongs to one type of discontinuous maps, which can exhibit complex dynamics over time. Our numerical examples show that, in general, the optimal pricing strategies may not admit any simple characterizations and the resulting reference price/price dynamics can be very complicated. We then sh...
