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作者：Gao, Jianjun; Li, Duan
作者单位：Shanghai Jiao Tong University; Chinese University of Hong Kong
摘要：One long-standing challenge in both the optimization and investment communities is to devise an efficient algorithm to select a small number of assets from an asset pool such that a portfolio objective is optimized. This cardinality constrained investment situation naturally arises due to the presence of various forms of market friction, such as transaction costs and management fees, or even due to the consideration of mental cost. Unfortunately, the combinatorial nature of such a portfolio se...
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作者：Royset, Johannes O.; Szechtman, Roberto
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：The sample average approximation approach to solving stochastic programs induces a sampling error, caused by replacing an expectation by a sample average, as well as an optimization error due to approximating the solution of the resulting sample average problem. We obtain estimators of an optimal solution and the optimal value of the original stochastic program after executing a finite number of iterations of an optimization algorithm applied to the sample average problem. We examine the conve...
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作者：Kim, Michael Jong; Makis, Viliam
作者单位：University of Toronto; National University of Singapore
摘要：Stochastic control problems that arise in reliability and maintenance optimization typically assume that information used for decision-making is obtained according to a predetermined sampling schedule. In many real applications, however, there is a high sampling cost associated with collecting such data. It is therefore of equal importance to determine when information should be collected and to decide how this information should be utilized for maintenance decision-making. This type of joint ...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Papavasiliou, Anthony; Oren, Shmuel S.
作者单位：Universite Catholique Louvain; University of California System; University of California Berkeley
摘要：In this paper we present a unit commitment model for studying the impact of large-scale wind integration in power systems with transmission constraints and system component failures. The model is formulated as a two-stage stochastic program with uncertain wind production in various locations of the network as well as generator and transmission line failures. We present a scenario selection algorithm for selecting and weighing wind power production scenarios and composite element failures, and ...
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作者：Cook, Wade D.; Harrison, Julie; Imanirad, Raha; Rouse, Paul; Zhu, Joe
作者单位：York University - Canada; University of Auckland; Worcester Polytechnic Institute
摘要：Data envelopment analysis (DEA), as originally proposed, is a methodology for evaluating the relative efficiencies of a set of homogeneous decision-making units (DMUs) in the sense that each uses the same input and output measures (in varying amounts from one DMU to another). In some situations, however, the assumption of homogeneity among DMUs may not apply. As an example, consider the case where the DMUs are plants in the same industry that may not all produce the same products. Evaluating e...
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作者：Lin, Kyle Y.; Atkinson, Michael R.; Chung, Timothy H.; Glazebrook, Kevin D.
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School; United States Department of Defense; United States Navy; Naval Postgraduate School; Lancaster University
摘要：This paper presents a patrol problem, where a patroller traverses a graph through edges to detect potential attacks at nodes. To design a patrol policy, the patroller needs to take into account not only the graph structure, but also the different attack time distributions, as well as different costs incurred due to successful attacks, at different nodes. We consider both random attackers and strategic attackers. A random attacker chooses which node to attack according to a probability distribu...
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作者：Kong, Qingxia; Lee, Chung-Yee; Teo, Chung-Piaw; Zheng, Zhichao
作者单位：Universidad Adolfo Ibanez; Hong Kong University of Science & Technology; National University of Singapore
摘要：In this paper we investigate a stochastic appointment-scheduling problem in an outpatient clinic with a single doctor. The number of patients and their sequence of arrivals are fixed, and the scheduling problem is to determine an appointment time for each patient. The service durations of the patients are stochastic, and only the mean and covariance estimates are known. We do not assume any exact distributional form of the service durations, and we solve for distributionally robust schedules t...
