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作者：Fibich, Gadi; Gibori, Ro'i
作者单位：Tel Aviv University
摘要：We explicitly calculate the aggregate diffusion dynamics in one-dimensional agent-based models of adoption of new products, without using the mean-field approximation. We then introduce a clusters-dynamics approach, and use it to derive an analytic approximation of the aggregate diffusion dynamics in multidimensional agent-based models. The clusters-dynamics approximation shows that the aggregate diffusion dynamics does not depend on the average distance between individuals, but rather on the ...
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作者：Park, Chiwoo; Huang, Jianhua Z.; Ding, Yu
作者单位：Texas A&M University System; Texas A&M University College Station; Texas A&M University System; Texas A&M University College Station
摘要：A minimum volume set of a probability density is a region of minimum size among the regions covering a given probability mass of the density. Effective methods for finding the minimum volume sets are very useful for detecting failures or anomalies in commercial and security applications-a problem known as novelty detection. One theoretical approach of estimating the minimum volume set is to use a density level set where a kernel density estimator is plugged into the optimization problem that y...
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作者：Lan, Hai; Nelson, Barry L.; Staum, Jeremy
作者单位：Shanghai Jiao Tong University; Northwestern University
摘要：We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner level estimates expected loss conditional on each scenario. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval. It also uses tools from the ranking-and-selection literature to make the simulation efficient.
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作者：Cervellera, Cristiano; Maccio, Danilo; Muselli, Marco
作者单位：Consiglio Nazionale delle Ricerche (CNR); Istituto di Studi sui Sistemi Intelligenti per l'Automazione (ISSIA-CNR); Consiglio Nazionale delle Ricerche (CNR); Istituto di Elettronica e di Ingegneria dell'Informazione e delle Telecomunicazioni (IEIIT-CNR)
摘要：An approach based on semilocal approximation is introduced for the solution of a general class of operations research problems, such as Markovian decision problems, multistage optimal control, and maximum-likelihood estimation. Because it is extremely hard to derive analytical solutions that minimize the cost in most instances of the problem, we must look for approximate solutions. Here, it is shown that good solutions can be obtained with a moderate computational effort by exploiting properti...
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作者：Dunkel, Joern; Weber, Stefan
作者单位：University of Oxford; Leibniz University Hannover
摘要：Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved risk measures have been suggested and analyzed in the recent literature, but their computational implementation has largely been neglected so far. We propose and investigate stochastic approximation algorithms for the convex risk measure Utility-Based Shortfall Risk. Our approach combines stochastic root-finding schemes...
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作者：Guseo, Renato; Mortarino, Cinzia
作者单位：University of Padua
摘要：The aim of this note is to correct an error in the formulation of Theorem 1 by Savin and Terwiesch [Savin, S., C. Terwiesch. 2005. Optimal product launch times in a duopoly: Balancing life-cycle revenues with product cost. Oper. Res. 53(1) 26-47].
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作者：Kaplan, Edward H.
作者单位：Yale University
摘要：This article presents the first models developed specifically for understanding the infiltration and interdiction of ongoing terror plots by undercover intelligence agents, and does so via novel application of ideas from queueing theory and Markov population processes. The resulting terror queue models predict the number of undetected terror threats in an area from agent activity/utilization data, and also estimate the rate with which such threats can be detected and interdicted. The models tr...
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作者：Brown, David B.; Smith, James E.; Sun, Peng
作者单位：Duke University
摘要：We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and impose a penalty that punishes violations of nonanticipativity. In applications, the hope is that this relaxed version of the problem will be simpler to solve than the original dynamic prog...
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作者：Denton, Brian T.; Miller, Andrew J.; Balasubramanian, Hari J.; Huschka, Todd R.
作者单位：North Carolina State University; Universite de Bordeaux; University of Massachusetts System; University of Massachusetts Amherst; Mayo Clinic
摘要：The allocation of surgeries to operating rooms (ORs) is a challenging combinatorial optimization problem. There is also significant uncertainty in the duration of surgical procedures, which further complicates assignment decisions. In this paper, we present stochastic optimization models for the assignment of surgeries to ORs on a given day of surgery. The objective includes a fixed cost of opening ORs and a variable cost of overtime relative to a fixed length-of-day. We describe two types of ...
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作者：Gallego, Guillermo; Sahin, Oezge
作者单位：Columbia University; University of Michigan System; University of Michigan
摘要：We introduce and analyze an intertemporal choice model where customer valuations are uncertain and evolve over time. The model leads directly to the study of call options on capacity that are similar to partially refundable fares. We show that the capacity provider earns significantly higher revenues by selling real options on capacity than on low-to-high pricing. We also investigate the social implications and show that the use of options is both socially optimal and socially efficient.
