2011

最新文章

• A Unified Framework for Dynamic Prediction Market Design AI翻译
  作者：Agrawal, Shipra; Delage, Erick; Peters, Mark; Wang, Zizhuo; Ye, Yinyu
  作者单位：Stanford University; Universite de Montreal; HEC Montreal; Stanford University
  摘要：Recently, coinciding with and perhaps driving the increased popularity of prediction markets, several novel pari-mutuel mechanisms have been developed such as the logarithmic market-scoring rule (LMSR), the cost-function formulation of market makers, utility-based markets, and the sequential convex pari-mutuel mechanism (SCPM). In this work, we present a convex optimization framework that unifies these seemingly unrelated models for centrally organizing contingent claims markets. The existing ...
• A Geometric Perspective on Lifting AI翻译
  作者：Conforti, Michele; Cornuejols, Gerard; Zambelli, Giacomo
  作者单位：University of Padua; Carnegie Mellon University; University of London; London School Economics & Political Science
  摘要：Recently it has been shown that minimal inequalities for a continuous relaxation of mixed-integer linear programs are associated with maximal lattice-free convex sets. In this paper, we show how to lift these inequalities for integral nonbasic variables by considering maximal lattice-free convex sets in a higher dimensional space. We apply this approach to several examples. In particular, we identify cases in which the lifting is unique.
• Sourcing Flexibility, Spot Trading, and Procurement Contract Structure AI翻译
  作者：Pei, Pamela Pen-Erh; Simchi-Levi, David; Tunca, Tunay I.
  作者单位：United Biosource Corporation; Massachusetts Institute of Technology (MIT); Stanford University
  摘要：We analyze the structure and pricing of option contracts for an industrial good in the presence of spot trading. We combine the analysis of spot trading and buyers' disparate private valuations for different suppliers' products, and we jointly endogenize the determination of three major dimensions in contract design: (i) sales contracts versus options contracts, (ii) flat-price versus volume-dependent contracts, and (iii) volume discounts versus volume premia. We build a model in which a suppl...
• Valuation of Storage at a Liquefied Natural Gas Terminal AI翻译
  作者：Lai, Guoming; Wang, Mulan X.; Kekre, Sunder; Scheller-Wolf, Alan; Secomandi, Nicola
  作者单位：University of Texas System; University of Texas Austin; Carnegie Mellon University
  摘要：The valuation of the real option to store liquefied natural gas (LNG) at the downstream terminal of an LNG value chain is an important problem in practice. Because the exact valuation of this real option is computationally intractable, we develop a novel and tractable heuristic model for its strategic valuation that integrates models of LNG shipping, natural gas price evolution, and inventory control and sale into the wholesale natural gas market. We incorporate real and estimated data to quan...
• Selecting Optimal Alternatives and Risk Reduction Strategies in Decision Trees AI翻译
  作者：Sherali, Hanif D.; Dalkiran, Evrim; Glickman, Theodore S.
  作者单位：Virginia Polytechnic Institute & State University; George Washington University
  摘要：In this paper we conduct a quantitative analysis for a strategic risk management problem that involves allocating certain available failure-mitigating and consequence-alleviating resources to reduce the failure probabilities of system safety components and subsequent losses, respectively, together with selecting optimal strategic decision alternatives, to minimize the risk or expected loss in the event of a hazardous occurrence. Using a novel decision tree optimization approach to represent th...
• Heavy-Traffic Analysis of a Multiple-Phase Network with Discriminatory Processor Sharing AI翻译
  作者：Verloop, I. M.; Ayesta, U.; Nunez-Queija, R.
  作者单位：Basque Center for Applied Mathematics (BCAM); Centrum Wiskunde & Informatica (CWI); Basque Foundation for Science; University of Amsterdam
  摘要：We analyze a generalization of the discriminatory processor-sharing (DPS) queue in a heavy-traffic setting. Customers present in the system are served simultaneously at rates controlled by a vector of weights. We assume that customers have phase-type distributed service requirements and allow that customers have different weights in various phases of their service. In our main result we establish a state-space collapse for the queue-length vector in heavy traffic. The result shows that in the ...
• Accounting for Parameter Uncertainty in Large-Scale Stochastic Simulations with Correlated Inputs AI翻译
  作者：Biller, Bahar; Corlu, Canan G.
  作者单位：Carnegie Mellon University; Ihsan Dogramaci Bilkent University
  摘要：This paper considers large-scale stochastic simulations with correlated inputs having normal-to-anything (NORTA) distributions with arbitrary continuous marginal distributions. Examples of correlated inputs include processing times of workpieces across several workcenters in manufacturing facilities and product demands and exchange rates in global supply chains. Our goal is to obtain mean performance measures and confidence intervals for simulations with such correlated inputs by accounting fo...
• Charlemagne's Challenge: The Periodic Latency Problem AI翻译
  作者：Coene, Sofie; Spieksma, Frits C. R.; Woeginger, Gerhard J.
  作者单位：KU Leuven; Eindhoven University of Technology
  摘要：Latency problems are characterized by their focus on minimizing the waiting time for all clients. We study periodic latency problems, a nontrivial extension of standard latency problems. In a periodic latency problem each client has to be visited regularly: there is a server traveling at unit speed, and there is a set of n clients with given positions. The server must visit the clients over and over again, subject to the constraint that successive visits to client i are at most q(i) time units...
• Structured Replacement Policies for Components with Complex Degradation Processes and Dedicated Sensors AI翻译
  作者：Elwany, Alaa H.; Gebraeel, Nagi Z.; Maillart, Lisa M.
  作者单位：Eindhoven University of Technology; University System of Georgia; Georgia Institute of Technology; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
  摘要：Failure of many engineering systems usually results from a gradual and irreversible accumulation of damage, a degradation process. Most degradation processes can be monitored using sensor technology. The resulting degradation signals are usually correlated with the degradation process. A system is considered to have failed once its degradation signal reaches a prespecified failure threshold. This paper considers a replacement problem for components whose degradation process can be monitored us...
• Economic and Emissions Implications of Load-Based, Source-Based, and First-Seller Emissions Trading Programs Under California AB32 AI翻译
  作者：Chen, Yihsu; Liu, Andrew L.; Hobbs, Benjamin F.
  作者单位：University of California System; University of California Merced; Purdue University System; Purdue University; Johns Hopkins University
  摘要：In response to Assembly Bill 32, the state of California considered three types of carbon emissions trading programs for the electric power sector: load-based, source-based, and first-seller. They differed in terms of their point of regulation and in whether in-state-to-out-of-state and out-of-state-to-in-state electricity sales are regulated. In this paper, we formulate a market equilibrium model for each of the three approaches, considering power markets, transmission limitations, and emissi...