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作者：Nadar, Emre; Akan, Mustafa; Scheller-Wolf, Alan
作者单位：Ihsan Dogramaci Bilkent University; Carnegie Mellon University
摘要：We consider an assemble-to-order generalized M -system with multiple components and multiple products, batch ordering of components, random lead times, and lost sales. We model the system as an infinite-horizon Markov decision process and seek an optimal policy that specifies when a batch of components should be produced (i.e., inventory replenishment) and whether an arriving demand for each product should be satisfied (i. e., inventory allocation). We characterize optimal inventory replenishm...
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作者：Mitchell, Daniel; Feng, Haolin; Muthuraman, Kumar
作者单位：Singapore University of Technology & Design; Sun Yat Sen University; University of Texas System; University of Texas Austin
摘要：This paper examines the effect that a central bank's interventions have on longer term interest rate securities by examining a stochastic short rate process that can be controlled by the central bank. Rather than investigate the motivations for the intervention, we assume that the bank is able to quantify its preferences and tolerances for various rates. We allow for a very general class of stochastic processes for the short rate, and most of the popular models in literature fall within this c...
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作者：Chen, Nan; Liu, Yanchu
作者单位：Chinese University of Hong Kong; Sun Yat Sen University
摘要：In this paper, we develop efficient Monte Carlo methods for estimating American option sensitivities. The problem can be reformulated as how to perform sensitivity analysis for a stochastic optimization problem with model uncertainty. We introduce a generalized infinitesimal perturbation analysis (IPA) approach to resolve the difficulty caused by discontinuity of the optimal decision with respect to the underlying parameter. The IPA estimators are unbiased if the optimal decisions are explicit...
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作者：Argyris, Nikolaos; Morton, Alec; Figueira, Jose Rui
作者单位：University of Warwick; University of Strathclyde; Universidade de Lisboa
摘要：We consider the problem of helping a decision maker (DM) choose from a set of multiattributed objects when her preferences are concavifiable, i.e. representable by a concave value function. We establish conditions under which preferences or preference intensities are concavifiable. We also derive a characterization for the family of concave value functions compatible with a set of such preference statements expressed by the DM. This can be used to validate dominance relations over discrete set...
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作者：Cote, Jean-Francois; Dell'Amico, Mauro; Iori, Manuel
作者单位：Laval University; Universita di Modena e Reggio Emilia
摘要：We study the strip packing problem, in which a set of two-dimensional rectangular items has to be packed in a rectangular strip of fixed width and infinite height, with the aim of minimizing the height used. The problem is important because it models a large number of real-world applications, including cutting operations where stocks of materials such as paper or wood come in large rolls and have to be cut with minimum waste, scheduling problems in which tasks require a contiguous subset of id...
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作者：Gorissen, Bram L.; Blanc, Hans; den Hertog, Dick; Ben-Tal, Aharon
作者单位：Tilburg University; Technion Israel Institute of Technology; Tilburg University
摘要：We propose a new way to derive tractable robust counterparts of a linear program based on the duality between the robust (pessimistic) primal problem and its optimistic dual. First we obtain a new convex reformulation of the dual problem of a robust linear program, and then show how to construct the primal robust solution from the dual optimal solution. Our result allows many new uncertainty regions to be considered. We give examples of tractable uncertainty regions that were previously intrac...
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作者：Chan, Timothy C. Y.; Craig, Tim; Lee, Taewoo; Sharpe, Michael B.
作者单位：University of Toronto; University of Toronto; University Health Network Toronto; Princess Margaret Cancer Centre
摘要：We generalize the standard method of solving inverse optimization problems to allow for the solution of inverse problems that would otherwise be ill posed or infeasible. In multiobjective linear optimization, given a solution that is not a weakly efficient solution to the forward problem, our method generates objective function weights that make the given solution a near-weakly efficient solution. Our generalized inverse optimization model specializes to the standard model when the given solut...
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作者：Graczova, Darina; Jacko, Peter
作者单位：Comenius University Bratislava; Lancaster University; Basque Center for Applied Mathematics (BCAM)
摘要：In this paper we introduce the knapsack problem for perishable inventories concerning the optimal dynamic allocation of a collection of products to a limited knapsack. The motivation for designing such a problem comes from retail revenue management, where different products often have an associated lifetime during which they can only be sold, and the managers can regularly select some products to be allocated to a limited promotion space that is expected to attract more customers than the stan...
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作者：Lu, Ye; Chen, Youhua (Frank); Song, Miao; Yan, Xiaoming
作者单位：City University of Hong Kong; University of Hong Kong; Dongguan University of Technology
摘要：A firm facing price dependent stochastic demand aims to maximize its total expected profit over a planning horizon. In addition to the regular unit selling price, the firm can utilize quantity discounts to increase sales. We refer to this dual-pricing strategy as quantity-based price differentiation. At the beginning of each period, the firm needs to make three decisions: replenish the inventory, set the unit selling price if the unit sales mode is deployed, and set the quantity-discount price...
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作者：Han, Qiaoming; Du, Donglei; Zuluaga, Luis F.
作者单位：Nanjing University; Zhejiang University of Finance & Economics; University of New Brunswick; Lehigh University
摘要：Scarf's max-min order formula for the risk-neutral and ambiguity-averse newsvendor problem is a classical result in the field of inventory management. In this article, we extend Scarf's formula by deriving an analogous closed-form order formula for the risk-and ambiguity-averse newsvendor problem. Specifically, we provide and analyze the newsvendor order quantity that maximizes the worst-case expected profit versus risk trade-off (risk-averse) when only the mean and standard deviation of the p...
