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作者：Armony, Mor; Mandelbaum, Avishai
作者单位：New York University; Technion Israel Institute of Technology
摘要：Motivated by call centers, we study large-scale service systems with homogeneous impatient customers and heterogeneous servers; the servers differ with respect to their speed of service. For this model, we propose staffing and routing rules that are jointly asymptotically optimal in the heavy-traffic many-server QED, ED, and ED + QED regimes, respectively. For the QED regime, our proposed routing rule is FSF, that assigns customers to the fastest server available first. In the ED and ED + QED ...
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作者：Besbes, Omar; Zeevi, Assaf
作者单位：Columbia University
摘要：We consider a pricing problem in an environment where the customers' willingness-to-pay (WtP) distribution may change at some point over the selling horizon. Customers arrive sequentially and make purchase decisions based on a quoted price and their private reservation price. The seller knows the WtP distribution pre- and postchange but does not know the time at which this change occurs. The performance of a pricing policy is measured in terms of regret: the loss in revenues relative to an ora...
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作者：Wang, Xiaoqun; Sloan, Ian H.
作者单位：Tsinghua University; University of New South Wales Sydney; Hong Kong Polytechnic University
摘要：Quasi-Monte Carlo (QMC) methods are playing an increasingly important role in the pricing of complex financial derivatives. For models in which the prices of the underlying assets are driven by Brownian motions, the performance of QMC methods is known to depend crucially on the construction of Brownian motions. This paper focuses on the impact of various constructions. Although the Brownian bridge (BB) construction often yields very good results, as Papageorgiou pointed out, there are financia...
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作者：Liu, Guangwu; Hong, L. Jeff
作者单位：City University of Hong Kong; Hong Kong University of Science & Technology
摘要：The Greeks are the derivatives (also known as sensitivities) of the option prices with respect to market parameters. They play an important role in financial risk management. Among many Monte Carlo methods of estimating the Greeks, the classical pathwise method requires only the pathwise information that is directly observable from simulation and is generally easier to implement than many other methods. However, the classical pathwise method is generally not applicable to the Greeks of options...
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作者：Berling, Peter; Martinez-de-Albeniz, Victor
作者单位：Lund University; University of Navarra; IESE Business School
摘要：In this paper we consider the problem of a firm that faces a stochastic (Poisson) demand and must replenish from a market in which prices fluctuate, such as a commodity market. We describe the price evolution as a continuous stochastic process and we focus on commonly used processes suggested by the financial literature, such as the geometric Brownian motion and the Ornstein-Uhlenbeck process. It is well known that under variable purchase price, a price-dependent base-stock policy is optimal. ...
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作者：Miller, Naomi; Ruszczynski, Andrzej
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick
摘要：We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures. We analyze properties of the problem and derive necessary and sufficient optimality conditions. Next, we construct a new decomposition method for solving the problem that exploits the composite structure of the objective function. We illustrate its performance on a portfolio...
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作者：Huh, Woonghee Tim; Janakiraman, Ganesh; Nagarajan, Mahesh
作者单位：University of British Columbia; University of Texas System; University of Texas Dallas
摘要：An important problem in the theory of dynamic programming is that of characterizing sufficient conditions under which the optimal policies for Markov decision processes (MDPs) under the infinite-horizon discounted cost criterion converge to an optimal policy under the average cost criterion as the discount factor approaches 1. In this paper, we provide, for stochastic inventory models, a set of such sufficient conditions. These conditions, unlike many others in the dynamic programming literatu...
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作者：Amaldi, Edoardo; Bosio, Sandro; Malucelli, Federico; Yuan, Di
作者单位：Polytechnic University of Milan; Swiss Federal Institutes of Technology Domain; ETH Zurich; Linkoping University
摘要：Wireless local area networks (WLANs) are widely used for cable replacement and wireless Internet access. Because the medium access control (MAC) scheme of WLANs has a strong influence on network performance, it should be accounted for in WLAN design. This paper presents AP location models that optimize a network performance measure specifically for the MAC scheme of WLANs that represents the efficiency in sharing the wireless medium. For these models, we propose a solution framework based on a...
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作者：Ryzhov, Ilya O.; Powell, Warren B.
作者单位：Princeton University
摘要：We derive a knowledge gradient policy for an optimal learning problem on a graph, in which we use sequential measurements to refine Bayesian estimates of individual edge values in order to learn about the best path. This problem differs from traditional ranking and selection in that the implementation decision (the path we choose) is distinct from the measurement decision (the edge we measure). Our decision rule is easy to compute and performs competitively against other learning policies, inc...
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作者：Chen, Binyuan; Kuecuekyavuz, Simge; Sen, Suvrajeet
作者单位：University of Arizona; University System of Ohio; Ohio State University
摘要：In this paper, we give a finite disjunctive programming procedure to obtain the convex hull of general mixed-integer linear programs (MILP) with bounded integer variables. We propose a finitely convergent convex hull tree algorithm that constructs a linear program that has the same optimal solution as the associated MILP. In addition, we combine the standard notion of sequential cutting planes with ideas underlying the convex hull tree algorithm to help guide the choice of disjunctions to use ...
