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作者：Michel, S.; Vanderbeck, F.
作者单位：Universite de Bordeaux
摘要：Inventory routing problems combine the optimization of product deliveries (or pickups) with inventory control at customer sites. The application that motivates this paper concerns the planning of single-product pickups over time; each site accumulates stock at a deterministic rate; the stock is emptied on each visit. At the tactical planning stage considered here, the objective is to minimize a surrogate measure of routing cost while achieving some form of regional clustering by partitioning t...
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作者：Turner, John
作者单位：University of California System; University of California Irvine
摘要：As targeted advertising becomes prevalent in a wide variety of media vehicles, planning models become increasingly important to ad networks that need to match ads to appropriate audience segments, provide a high quality of service (meet advertisers' goals), and ensure that ad serving opportunities are not wasted. We define Guaranteed Targeted Display Advertising (GTDA) as a class of media vehicles that include webpage banner ads, video games, electronic outdoor billboards, and the next generat...
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作者：Babonneau, Frederic; Nesterov, Yurii; Vial, Jean-Philippe
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Universite Catholique Louvain
摘要：Problems dealing with the design and operations of gas transmission networks are challenging. The standard approaches lead to a difficult nonlinear nonconvex optimization problem. To get around this difficulty, we use a minimum energy principle to define stationary flows in the network. This solution minimizes the total energy dissipated in the system. We extend the minimization process to the choice of suitable diameters on the reinforcing arcs and add a constraint that limits the monetary co...
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作者：Golany, Boaz; Kress, Moshe; Penn, Michal; Rothblum, Uriel G.
作者单位：Technion Israel Institute of Technology; United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：A military arms race is characterized by an iterative development of measures and countermeasures. An attacker attempts to introduce new weapons in order to gain some advantage, whereas a defender attempts to develop countermeasures that can mitigate or even eliminate the effects of the weapons. This paper addresses the defender's decision problem: given limited resources, which countermeasures should be developed and how much should be invested in their development to minimize the damage caus...
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作者：Cai, Ning; Kou, Steven
作者单位：Hong Kong University of Science & Technology; Columbia University
摘要：We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model. Similar results were available previously only in the special case of the Black-Scholes model (BSM). Even in the case of the BSM, our approach is simpler as we essentially use only Ito's formula and do not need more advanced results such as those of Bessel processes and Lamperti's representation. As a by-product we also show that a well-known recursion relating t...
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作者：Deng, Shaojie; Giesecke, Kay; Lai, Tze Leung
作者单位：Microsoft; Stanford University; Stanford University
摘要：We provide a sequential Monte Carlo method for estimating rare-event probabilities in dynamic, intensity-based point process models of portfolio credit risk. The method is based on a change of measure and involves a resampling mechanism. We propose resampling weights that lead, under technical conditions, to a logarithmically efficient simulation estimator of the probability of large portfolio losses. A numerical analysis illustrates the features of the method and contrasts it with other rare-...
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作者：Marklund, Johan; Rosling, Kaj
作者单位：Lund University; Linnaeus University
摘要：Assume that in periods with stochastic demand remain until the next replenishment arrives at a central warehouse. How should the available inventory be allocated among N retailers? This paper presents a new policy and a new lower bound for the expected cost of this problem. The lower bound becomes tight as N -> infinity. The infinite horizon problem then decomposes into N independent m-period problems with optimal retailer ship-up-to levels that decrease over the in periods, and the warehouse ...
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作者：Engineer, Faramroze G.; Furman, Kevin C.; Nemhauser, George L.; Savelsbergh, Martin W. P.; Song, Jin-Hwa
作者单位：University of Newcastle; Exxon Mobil Corporation; University System of Georgia; Georgia Institute of Technology
摘要：A branch-price-and-cut algorithm is developed for a complex maritime inventory-routing problem with varying storage capacities and production/consumption rates at facilities. The resulting mixed-integer pricing problem is solved exactly and efficiently using a dynamic program that exploits certain extremal characteristics of the pricing problem. The formulation is tightened by using the problem's boundary conditions in preprocessing and to restrict the set of columns that are produced by the p...
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作者：He, Simai; Zhang, Jiawei; Zhang, Shuzhong
作者单位：City University of Hong Kong; New York University; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper we consider the problem of maximizing a separable concave function over a polymatroid. More specifically, we study the submodularity of its optimal objective value in the parameters of the objective function. This question is interesting in its own right and is encountered in many applications. But our research has been motivated mainly by a cooperative game associated with the well-known joint replenishment model. By applying our general results on polymatroid optimization, we p...
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作者：Doan, Xuan Vinh; Natarajan, Karthik
作者单位：University of Warwick; University of Warwick; City University of Hong Kong
摘要：Given a combinatorial optimization problem with an arbitrary partition of the set of random objective coefficients, we evaluate the tightest-possible bound on the expected optimal value for joint distributions consistent with the given multivariate marginals of the subsets in the partition. For univariate marginals, this bound was first proposed by Meilijson and Nadas [Meilijson, I., A. Nadas. 1979. Convex majorization with an application to the length of critical path. J. Appl. Probab. 16(3) ...
