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作者：Moallemi, Ciamac C.; Saglam, Mehmet
作者单位：Columbia University; Princeton University
摘要：Modern electronic markets have been characterized by a relentless drive toward faster decision making. Significant technological investments have led to dramatic improvements in latency, the delay between a trading decision and the resulting trade execution. We describe a theoretical model for the quantitative valuation of latency. Our model measures the trading frictions created by the presence of latency, by considering the optimal execution problem of a representative investor. Via a dynami...
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作者：Moulin, Herve; Sethuraman, Jay
作者单位：University of Glasgow; Columbia University
摘要：In the bipartite rationing problem, a set of agents share a single resource available in different types, each agent has a claim over only a subset of the resource types, and these claims overlap in arbitrary fashion The goal is to divide fairly the various types of resources between the claimants when resources are in short supply. With a single type of resource, this is the standard rationing problem [O'Neill B (1982) A problem of rights arbitration from the Talmud. Math. Soc. Sci. 2(4):345-...
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作者：Saaty, Thomas L.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：This paper presents a summary of the discrete mathematical part of my work, the Analytic Hierarchy Process (AHP) and its generalization to dependence and feedback, the Analytic Network Process (ANP), for measuring tangible and intangible factors, particularly as applied to decision making. The factors of the decision are arranged in hierarchical or network structures and judgments are then made by the decision maker, or by an expert, about the dominant element for each pair with respect to a c...
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作者：Cherchye, Laurens; De Rock, Bram; Dierynck, Bart; Roodhooft, Filip; Sabbe, Jeroen
作者单位：KU Leuven; Universite Libre de Bruxelles; Tilburg University; Vlerick Business School
摘要：We develop a new data envelopment analysis (DEA)-based methodology for measuring the efficiency of decision-making units (DMUs) characterized by multiple inputs and multiple outputs. The distinguishing feature of our method is that it explicitly includes information about output-specific inputs and joint inputs in the efficiency evaluation. This method contributes to.opening the black box of efficiency measurement in two different ways. First, including information on the input allocation subs...
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作者：Chen, Xin; Hu, Peng; He, Simai
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Huazhong University of Science & Technology; City University of Hong Kong
摘要：This paper establishes a new preservation property of supermodularity in a class of two-dimensional parametric optimization problems, where the constraint sets may not be lattices. This property and its extensions unify several results in the literature and provide powerful tools to analyze a variety of operations models including a two-product coordinated pricing and inventory control problem with cross-price effects that we use as an illustrative example.
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作者：Xie, Jing; Frazier, Peter I.
作者单位：Cornell University
摘要：We consider the problem of efficiently allocating simulation effort to determine which of several simulated systems have mean performance exceeding a threshold of known value. Within a Bayesian formulation of this problem, the optimal fully sequential policy for allocating simulation effort is the solution to a dynamic program. When sampling is limited by probabilistic termination or sampling costs, we show that this dynamic program can be solved efficiently, providing a tractable way to compu...
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作者：Bertsimas, Dimitris; O'Hair, Allison
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Preference learning has been a topic of research in many fields, including operations research, marketing, machine learning, and behavioral economics. In this work, we strive to combine the ideas from these different fields into a single methodology to learn preferences and make decisions. We use robust and integer optimization in an adaptive and dynamic way to determine preferences from data that are consistent with human behavior. We use integer optimization to address human inconsistency, r...
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作者：Stolyar, Alexander L.
作者单位：AT&T; Alcatel-Lucent
摘要：We consider a service system model primarily motivated by the problem of efficient assignment of virtual machines to physical host machines in a network cloud, so that the number of occupied hosts is minimized. There are multiple input flows of different type customers, with a customer mean service time depending on its type. There is an infinite number of servers. A server-packing configuration is the vector k = {k(i)}, where k(i) is the number of type i customers the server contains. Packing...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Stonebraker, Jeffrey S.
作者单位：North Carolina State University
摘要：We present an application of decision analysis to global production capacity expansion under uncertainty for Bayer Group's proposed new biotechnology drug to treat hemophilia A. This decision analysis developed an improved approach to Bayer's decision for product-generation transition and global production capacity expansion that more realistically addresses potential regional supply shortages and overages due to demand and supply uncertainties that can result in supply-demand imbalances. With...
