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作者：Hoogeboom, Maaike; Battarra, Maria; Erdogan, Gunes; Vigo, Daniele
作者单位：Vrije Universiteit Amsterdam; University of Bath; University of Bologna
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作者：Elmachtoub, Adam N.; Levi, Retsef
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：We consider new online variants of supply chain management models, where in addition to production decisions, one also has to actively decide on which customers to serve. Specifically, customers arrive sequentially during a selection phase, and one has to decide whether to accept or reject each customer upon arrival. If a customer is rejected, then a lost-sales cost is incurred. Once the selection decisions are all made, one has to satisfy all the accepted customers with minimum possible produ...
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作者：Ardestani-Jaafari, Amir; Delage, Erick
作者单位：Universite de Montreal; HEC Montreal
摘要：Robust optimization is a methodology that has gained a lot of attention in the recent years. This is mainly due to the simplicity of the modeling process and ease of resolution even for large scale models. Unfortunately, the second property is usually lost when the cost function that needs to be robustified is not concave (or linear) with respect to the perturbing parameters. In this paper we study robust optimization of sums of piecewise linear functions over polyhedral uncertainty set. Given...
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作者：Oreshkin, Boris N.; Regnard, Nazim; L'Ecuyer, Pierre
作者单位：Universite de Montreal
摘要：We propose, develop, and compare new stochastic models for the daily arrival rate in a call center. Following standard practice, the day is divided into time periods of equal length (e.g., 15 or 30 minutes), the arrival rate is assumed random but constant in time in each period, and the arrivals are from a Poisson process, conditional on the rate. The random rate for each period is taken as a deterministic base rate (or expected rate) multiplied by a random busyness factor having mean 1. Model...
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作者：Shapiro, Alexander
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：In this paper we consider the notion of rectangularity of a set of probability measures from a somewhat different point of view. We define rectangularity as a property of dynamic decomposition of a distributionally robust stochastic optimization problem and show how it relates to the modern theory of coherent risk measures. Consequently, we discuss robust formulations of multistage stochastic optimization problems in frameworks of stochastic programming, stochastic optimal control, and Markov ...
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作者：Xie, Jing; Frazier, Peter I.; Chick, Stephen E.
作者单位：Cornell University; INSEAD Business School
摘要：This paper addresses discrete optimization via simulation. We show that allowing for both a correlated prior distribution on the means (e.g., with discrete Kriging models) and sampling correlation (e.g., with common random numbers, or CRN) can significantly improve the ability to quickly identify the best alternative. These two correlations are brought together for the first time in a highly sequential knowledge-gradient sampling algorithm, which chooses points to sample using a Bayesian value...
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作者：Papier, Felix
作者单位：ESSEC Business School
摘要：We study the problem of allocating supply under advance demand information. We consider a company that must allocate limited inventory to different markets that open sequentially. To reduce uncertainty, the company receives advance demand information and updates forecasts about its markets each time it makes an allocation decision. We study the value and optimal use of this information. This research is motivated by an agrifood manufacturer that operates in several European countries. We devel...
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作者：Wang, Shouqiang; Sun, Peng; de Vericourt, Francis
作者单位：University of Texas System; University of Texas Dallas; Duke University; European School of Management & Technology
摘要：This paper studies the design of voluntary disclosure regulations for a firm that faces a stochastic environmental hazard. The occurrence of such a hazard is known only to the firm. The regulator, if finding a hazard, collects a fine and mandates the firm to perform costly remediation that reduces the environmental damage. The regulator may inspect the firm at any time to uncover the hazard. However, because inspections are costly, the regulator also offers a reward to the firm for voluntarily...
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作者：Desir, Antoine; Goyal, Vineet; Wei, Yehua; Zhang, Jiawei
作者单位：Columbia University; Duke University; New York University; New York University; NYU Shanghai
摘要：Sparse process flexibility and the long chain have become important concepts in design flexible manufacturing systems. In this paper, we study the performance of the long chain in comparison to all designs with at most 2 n edges over n supply and n demand nodes. We show that, surprisingly, long chain is not always optimal in this class of networks even for i.i.d. demand distributions. In particular, we present a family of instances where a disconnected network with 2 n edges has a strictly bet...
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作者：Kim, Kyoung-Kuk; Kim, Sojung
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Korea Advanced Institute of Science & Technology (KAIST)
摘要：We consider tempered stable Levy subordinators and develop a bridge sampling method. An approximate conditional probability density function (PDF) given the terminal values is derived with stable index less than one, using the double saddlepoint approximation. We then propose an acceptance-rejection algorithm based on the existing gamma bridge and the inverse Gaussian bridge as proposal densities. Its performance is comparable to existing sequential sampling methods such as Devroye (2009) [Dev...
