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作者：Carlsson, John Gunnar; Behroozi, Mehdi; Devulapalli, Raghuveer; Meng, Xiangfei
作者单位：University of Southern California; Intel Corporation; Intel USA
摘要：One of the fundamental concerns in the analysis of logistical systems is the trade-off between localized, independent provision of goods and services versus provision along a centralized infrastructure such as a backbone network. One phenomenon in which this trade-off has recently been made manifest is the transition of businesses from traditional brick-and-mortar stores to retail sales facilitated via e-commerce, such as grocery delivery services. Conventional wisdom would dictate that such s...
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作者：Zheng, Zhichao; Natarajan, Karthik; Teo, Chung-Piaw
作者单位：Singapore Management University; Singapore University of Technology & Design; National University of Singapore
摘要：This paper is motivated by the following question: How to construct good approximation for the distribution of the solution value to linear optimization problem when the random objective coefficients follow a multivariate normal distribution? Using Stein's Identity, we show that the least squares normal approximation of the random optimal value can be computed by estimating the persistency values of the corresponding optimization problem. We further extend our method to construct a least squar...
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作者：Sen, Suvrajeet; Liu, Yifan
作者单位：University of Southern California
摘要：Stochastic Programming (SP) has long been considered a well-justified yet computationally challenging paradigm for practical applications. Computational studies in the literature often involve approximating a large number of scenarios by using a small number of scenarios to be processed via deterministic solvers, or running Sample Average Approximation on some genre of high performance machines so that statistically acceptable bounds can be obtained. In this paper we show that for a class of s...
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作者：Hoeksma, Ruben; Uetz, Marc
作者单位：Universidad de Chile; University of Twente
摘要：We study the design of mechanisms for a sequencing problem where the types of job-agents consist of processing times and waiting costs that are private to the jobs. In the Bayes-Nash setting, we seek to find a sequencing rule and incentive compatible payments that minimize the total expected payments that have to be made to the agents. It is known that the problem can be efficiently solved when jobs have single-dimensional types. Here, we address the problem with two-dimensional types. We show...
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作者：Dentcheva, Darinka; Martinez, Gabriela; Wolfhagen, Eli
作者单位：Stevens Institute of Technology; Mayo Clinic
摘要：We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend the notion of a linear multivariate order, adding flexibility with respect to the controlled portion of the distributions. We propose several methods for the numerical solution of these problems based on augmented Lagrangian framework and analyze their convergence. The methods construct finite-di...
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作者：Pajouh, Foad Mahdavi; Balasundaram, Balabhaskar; Hicks, Illya V.
作者单位：University of Massachusetts System; University of Massachusetts Boston; Oklahoma State University System; Oklahoma State University - Stillwater; Rice University
摘要：A k-club is a subset of vertices of a graph that induces a subgraph of diameter at most k, where k is a positive integer. By definition, 1-clubs are cliques and the model is a distance-based relaxation of the clique definition for larger values of k. The k-club model is particularly interesting to study from a polyhedral perspective as the property is not hereditary on induced subgraphs when k is larger than one. This article introduces a new family of facet-defining inequalities for the 2-clu...
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作者：Pan, Kai; Guan, Yongpei
作者单位：Hong Kong Polytechnic University; State University System of Florida; University of Florida
摘要：With the increasing penetration of renewable energy into the power grid system, the volatility of real-time electricity prices increases significantly. This brings challenges for independent power producers to provide optimal bidding strategies. The traditional approaches of only attending the day-ahead market might not be profitable enough without taking advantage of real-time price volatility. In this paper, we study the optimal bidding strategies for the independent power producers utilizin...
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作者：Fan, Weiwei; Hong, L. Jeff; Nelson, Barry L.
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; City University of Hong Kong; City University of Hong Kong; Northwestern University
摘要：Many procedures have been proposed in the literature to select the simulated alternative with the best mean performance from a finite set of alternatives. Among these procedures, frequentist procedures are typically designed under either the subset-selection (SS) formulation or the indifference-zone (IZ) formulation. Both formulations may encounter problems when the goal is to select the unique best alternative for any configuration of the means. In particular, SS procedures may return a subse...
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作者：Chen, Xin; Hu, Peng; Shum, Stephen; Zhang, Yuhan
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Huazhong University of Science & Technology; City University of Hong Kong
摘要：We analyze the joint inventory and pricing decisions of a firm when demand depends on not only the current selling price but also a memory-based reference price and customers are loss averse. The presence of reference price effect leads to a nonconcave one-period expected revenue in price and reference price. We introduce a transformation technique that allows us to prove under some mild assumptions the optimality of a reference-price-dependent base-stock list-price policy, which is characteri...
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作者：Bertsimas, Dimitris; Misic, Velibor V.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of California System; University of California Los Angeles
摘要：Decomposable Markov decision processes (MDPs) are problems where the stochastic system can be decomposed into multiple individual components. Although such MDPs arise naturally in many practical applications, they are often difficult to solve exactly due to the enormous size of the state space of the complete system, which grows exponentially with the number of components. In this paper, we propose an approximate solution approach to decomposable MDPs that is based on re-solving a fluid linear...
