-
作者：Glasserman, Paul; Xu, Xingbo
作者单位：Columbia University; Columbia University
摘要：Portfolio selection is vulnerable to the error-amplifying effects of combining optimization with statistical estimation and model error. For dynamic portfolio control, sources of model error include the evolution of market factors and the influence of these factors on asset returns. We develop portfolio control rules that are robust to this type of uncertainty, applying a stochastic notion of robustness to uncertainty in model dynamics. In this stochastic formulation, robustness reflects uncer...
-
作者：Giesecke, Kay; Smelov, Dmitry
作者单位：Stanford University
摘要：This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C-1, the volatility function to be C-2, and the jump intensity function to be locally bounded. No further structure is imposed on these functions. The method leads to unbiased simulation estimators of security prices, transition densities,...
-
作者：Gong, Xiting; Zhou, Sean X.
作者单位：Chinese University of Hong Kong; Chinese University of Hong Kong
摘要：Emissions trading is a market-based mechanism for curbing emissions, and it has been implemented in Europe, North America, and several other parts of the world. To study its impact on production planning, we develop a dynamic production model, where a manufacturer produces a single product to satisfy random market demands. The manufacturer has access to both a green and a regular production technology, of which the former is more costly but yields fewer emissions. To comply with the emissions ...
-
作者：Banciu, Mihai; Mirchandani, Prakash
作者单位：Bucknell University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：The generalized failure rate of a continuous random variable has demonstrable importance in operations management. If the valuation distribution of a product has an increasing generalized failure rate (that is, the distribution is IGFR), then the associated revenue function is unimodal, and when the generalized failure rate is strictly increasing, the global maximum is uniquely specified. The assumption that the distribution is IGFR is thus useful and frequently held in recent pricing, revenue...
-
作者：Noyan, Nilay; Rudolf, Gabor
作者单位：Sabanci University
摘要：For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area. Existing studies focus on extending univariate stochastic dominance rules to the multivariate case. However, enforcing multivariate stochastic dominance constraints can often be ...
-
作者：Buchbinder, Niv; Kimbrel, Tracy; Levi, Retsef; Makarychev, Konstantin; Sviridenko, Maxim
作者单位：Tel Aviv University; National Science Foundation (NSF); Massachusetts Institute of Technology (MIT); Microsoft; University of Warwick
摘要：In this paper, we study an online make-to-order variant of the classical joint replenishment problem (JRP) that has been studied extensively over the years and plays a fundamental role in broader planning issues, such as the management of supply chains. In contrast to the traditional approaches of the stochastic inventory theory, we study the problem using competitive analysis against a worst-case adversary. Our main result is a 3-competitive deterministic algorithm for the online version of t...
-
作者：Kim, Song-Hee; Whitt, Ward
作者单位：Columbia University
摘要：The theory supporting Little's Law (L = lambda W) is now well developed, applying to both limits of averages and expected values of stationary distributions, but applications of Little's Law with actual system data involve measurements over a finite-time interval, which are neither of these. We advocate taking a statistical approach with such measurements. We investigate how estimates of L and lambda can be used to estimate W when the waiting times are not observed. We advocate estimating conf...
-
作者：Carvajal, Rodolfo; Constantino, Miguel; Goycoolea, Marcos; Vielma, Juan Pablo; Weintraub, Andres
作者单位：University System of Georgia; Georgia Institute of Technology; Universidad Adolfo Ibanez; Universidade de Lisboa; Massachusetts Institute of Technology (MIT); Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Universidad de Chile
摘要：Connectivity requirements are a common component of forest planning models, with important examples arising in wildlife habitat protection. In harvest scheduling models, one way of addressing preservation concerns consists of requiring that large contiguous patches of mature forest are maintained. In the context of nature reserve design, it is common practice to select a connected region of forest, as a reserve, in such a way as to maximize the number of species and habitats protected. Althoug...
-
作者：Kakade, Sham M.; Lobel, Ilan; Nazerzadeh, Hamid
作者单位：Microsoft; New York University; University of Southern California
摘要：We consider the problem of designing optimal mechanisms for settings where agents have dynamic private information. We present the virtual-pivot mechanism, which is optimal in a large class of environments that satisfy a separability condition. The mechanism satisfies a rather strong equilibrium notion (it is periodic ex post incentive compatible and individually rational). We provide both necessary and sufficient conditions for immediate incentive compatibility for mechanisms that satisfy per...
-
作者：Blavatskyy, Pavlo
摘要：Subjective expected utility is the most widely used model to represent preferences under uncertainty (when objective probabilities of events may not be known). This paper presents a new behavioral characterization (preference axiomatization) of subjective expected utility. The latter is derived from a behavioral assumption of cardinal independence, also known as standard sequence invariance. This axiom requires that a standard sequence of outcomes (equally spaced in terms of utility) is indepe...
