2015

最新文章

• On Dynamic Decision Making to Meet Consumption Targets AI翻译
  作者：Chen, Lucy Gongtao; Long, Daniel Zhuoyu; Sim, Melvyn
  作者单位：National University of Singapore; Chinese University of Hong Kong
  摘要：We investigate a dynamic decision model that facilitates a target-oriented decision maker in regulating her risky consumption based on her desired target consumption level in every period in a finite planning horizon. We focus on dynamic operational decision problems of a firm where risky cash flows are being resolved over time. The firm can finance consumption by borrowing or saving to attain prescribed consumption targets over time. To evaluate the ability of the consumption in meeting respe...
• Fully Sequential Procedures for Large-Scale Ranking-and-Selection Problems in Parallel Computing Environments AI翻译
  作者：Luo, Jun; Hong, L. Jeff; Nelson, Barry L.; Wu, Yang
  作者单位：Shanghai Jiao Tong University; City University of Hong Kong; City University of Hong Kong; Northwestern University
  摘要：Fully sequential ranking-and-selection (R&S) procedures to find the best from a finite set of simulated alternatives are often designed to be implemented on a single processor. However, parallel computing environments, such as multi-core personal computers and many-core servers, are becoming ubiquitous and easily accessible for ordinary users. In this paper, we propose two types of fully sequential procedures that can be used in parallel computing environments. We call them vector-filling proc...
• Necessity of Future Information in Admission Control AI翻译
  作者：Xu, Kuang
  作者单位：Stanford University
  摘要：We study the necessity of predictive information in a class of queueing admission control problems, where a system manager is allowed to divert incoming jobs up to a fixed rate, in order to minimize the queueing delay experienced by the admitted jobs. Spencer et al. (2014) [Spencer J, Sudan M, Xu K (2014) Queuing with future information. Ann. Appl. Probab. 24(5): 2091-2142.] show that the system's delay performance can be significantly improved by having access to future information in the for...
• Non-Stationary Stochastic Optimization AI翻译
  作者：Besbes, Omar; Gur, Yonatan; Zeevi, Assaf
  作者单位：Columbia University; Stanford University
  摘要：We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said change, and study how restrictions on this budget impact achievable performance. We identify sharp conditions under which it is possible to achieve long-run average optimality and more refined performance measures such as rate optimality that fully characterize t...
• Bundled Payments For Healthcare Services: Proposer Selection and Information Sharing AI翻译
  作者：Gupta, Diwakar; Mehrotra, Mili
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities
  摘要：The Centers for Medicare and Medicaid Services (CMS) has introduced a bundled payments for care improvement (BPCI) initiative. Each bundle pertains to a specific medical condition, a set of linked services, and a length of time referred to as an episode of care. Proposers choose bundles, design service chains, and propose target values of quality metrics and payments per episode. Expert panels evaluate proposals based on CMS-announced relative weights, but there is no limit on the number of pr...
• Dynamic Trading with Reference Point Adaptation and Loss Aversion AI翻译
  作者：Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan
  作者单位：Shanghai University; Shanghai University of Finance & Economics; Fudan University; Chinese University of Hong Kong
  摘要：We formalize the reference point adaptation process by relating it to a way people perceive prior gains and losses. We then develop a dynamic trading model with reference point adaptation and loss aversion, and derive its semi-analytical solution. The derived optimal stock holding has an asymmetric V-shaped form with respect to prior outcomes, and the related sensitivities are directly determined by the sensitivities of reference point shifts with respect to the outcomes. We also find that the...
• Capacity Constraints Across Nests in Assortment Optimization Under the Nested Logit Model AI翻译
  作者：Feldman, Jacob B.; Topaloglu, Huseyin
  作者单位：Cornell University
  摘要：We consider assortment optimization problems when customers choose according to the nested logit model and there is a capacity constraint limiting the total capacity consumption of all products offered in all nests. When each product consumes one unit of capacity, our capacity constraint limits the cardinality of the offered assortment. For the cardinality constrained case, we develop an efficient algorithm to compute the optimal assortment. When the capacity consumption of each product is arb...
• Technical Note-Pricing Under the Nested Attraction Model with a Multistage Choice Structure AI翻译
  作者：Huh, Woonghee Tim; Li, Hongmin
  作者单位：University of British Columbia; Arizona State University; Arizona State University-Tempe
  摘要：We develop a solution approach to the centralized pricing problem of a nested attraction model with a multistage tree structure. We identify conditions under which the optimal solution can be uniquely determined, and we characterize the optimal solution as a fixed point of a single variable. In the special case of a multistage nested logit model, we show the impact of asymmetry in price sensitivity and adjustment index (also known as the dissimilarity index) and we derive a closed-form solutio...
• The Power of Optimization Over Randomization in Designing Experiments Involving Small Samples AI翻译
  作者：Bertsimas, Dimitris; Johnson, Mac; Kallus, Nathan
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：Random assignment, typically seen as the standard in controlled trials, aims to make experimental groups statistically equivalent before treatment. However, with a small sample, which is a practical reality in many disciplines, randomized groups are often too dissimilar to be useful. We propose an approach based on discrete linear optimization to create groups whose discrepancy in their means and variances is several orders of magnitude smaller than with randomization. We provide theoretical a...
• Multistate Bayesian Control Chart Over a Finite Horizon AI翻译
  作者：Wang, Jue; Lee, Chi-Guhn
  作者单位：University of Toronto
  摘要：We study a multistate partially observable process control model with a general state transition structure. The process is initially in control and subject to Markovian deterioration that can bring it to out-of-control states. The process may continue making transitions among the out-of-control states, or even back to the in-control state until it reaches an absorbing state. We assume that at least one out-of-control state is absorbing. The objective is to minimize the expected total cost over...