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作者：Ashlagi, Itai; Shi, Peng
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：In school choice, children submit a preference ranking over schools to a centralized assignment algorithm, which takes into account schools' priorities over children and uses randomization to break ties. One criticism of existing school choice mechanisms is that they tend to disperse communities, so children do not go to school with others from their neighborhood. We suggest improving community cohesion by implementing a correlated lottery in a given school choice mechanism: we find a convex c...
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作者：Fang, Xin; Cho, Soo-Haeng
作者单位：Singapore Management University; Carnegie Mellon University
摘要：This paper studies a cooperative game of inventory transshipment among multiple firms. In this game, firms first make their inventory decisions independently and then decide collectively how to transship excess inventories to satisfy unmet demands. In modeling transshipment, we use networks of firms as the primitive, which offer a richer representation of relationships among firms by taking the coalitions used in all previous studies as special cases. For any given cooperative network, we cons...
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作者：Chen, Hong; Zhang, Zhan
作者单位：Shanghai Jiao Tong University; University of British Columbia
摘要：This paper analyzes a periodic-review, joint inventory and pricing control problem for a firm that faces stochastic, price-sensitive demand under a nonstationary environment with fixed ordering costs. Any unsatisfied demand is backlogged. The objective is to maximize expected profit over a finite selling horizon by coordinating the inventory and pricing decisions in each period. We show that for an additive demand model, an (s, S, p) policy is optimal when the expected revenue is quasi-concave...
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作者：Delage, Erick; Arroyo, Sharon; Ye, Yinyu
作者单位：Universite de Montreal; HEC Montreal; Boeing; Stanford University
摘要：Although stochastic programming is probably the most effective framework for handling decision problems that involve uncertain variables, it is always a costly task to formulate the stochastic model that accurately embodies our knowledge of these variables. In practice, this might require one to collect a large amount of observations, to consult with experts of the specialized field of practice, or to make simplifying assumptions about the underlying system. When none of these options seem fea...
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作者：Brown, David B.; Smith, James E.
作者单位：Duke University
摘要：We consider the information relaxation approach for calculating performance bounds for stochastic dynamic programs (DPs). This approach generates performance bounds by solving problems with relaxed nonanticipativity constraints and a penalty that punishes violations of these nonanticipativity constraints. In this paper, we study DPs that have a convex structure and consider gradient penalties that are based on first-order linear approximations of approximate value functions. When used with per...
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作者：Xie, Wei; Nelson, Barry L.; Barton, Russell R.
作者单位：Rensselaer Polytechnic Institute; Northwestern University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：When we use simulation to estimate the performance of a stochastic system, the simulation often contains input models that were estimated from real-world data; therefore, there is both simulation and input uncertainty in the performance estimates. In this paper, we provide a method to measure the overall uncertainty while simultaneously reducing the influence of simulation estimation error due to output variability. To reach this goal, a Bayesian framework is introduced. We use a Bayesian post...
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作者：Reed, Josh; Zwart, Bert
作者单位：New York University
摘要：Bandwidth-sharing networks provide a natural modeling framework for describing the dynamic flow-level interaction among elastic data transfers in computer and communication systems, and can be used to develop traffic pricing/charging mechanisms. At the same time, such models are exciting from an operations research perspective because their analysis requires techniques from stochastic modeling and optimization. In this paper, we develop a framework to approximate bandwidth-sharing networks und...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Glasserman, Paul; Kang, Wanmo
作者单位：Columbia University; Korea Advanced Institute of Science & Technology (KAIST)
摘要：Banking regulations set minimum levels of capital for banks. These requirements are generally formulated through a ratio of capital to risk-weighted assets. A risk-weighting scheme assigns a weight to each asset or category of assets and effectively functions as a linear constraint on a bank's portfolio choice; it also changes the incentives for banks to hold various kinds of assets. In this paper, we investigate the design of risk weights to align regulatory and private objectives in a simple...
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作者：Hernandez, Penelope; von Stengel, Bernhard
作者单位：University of Valencia; University of Valencia; University of London; London School Economics & Political Science
摘要：This paper studies the stability of communication protocols that deal with transmission errors. We consider a coordination game between an informed sender and an uninformed receiver, who communicate over a noisy channel. The sender's strategy, called a code, maps states of nature to signals. The receiver's best response is to decode the received channel output as the state with highest expected receiver payoff. Given this decoding, an equilibrium or Nash code results if the sender encodes ever...
