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作者：Lichtendahl, Kenneth C., Jr.; Bodily, Samuel E.
作者单位：University of Virginia
摘要：Lifetime financial decisions often require a decision analyst to elicit a decision maker's preferences for consumption streams. In assessing such preferences, the analyst might look for a set of reasonable conditions to check when selecting a utility form. We provide such a set of conditions and show that they lead to the multiplicative-expo-power (MEP) utility form. Some of our conditions involve trade-offs under certainty and others relate to choices under uncertainty. In the deterministic s...
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作者：Cui, Tingting; Ouyang, Yanfeng; Shen, Zuo-Jun Max
作者单位：University of California System; University of California Berkeley; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Reliable facility location models consider unexpected failures with site-dependent probabilities, as well as possible customer reassignment. This paper proposes a compact mixed integer program (MIP) formulation and a continuum approximation (CA) model to study the reliable uncapacitated fixed charge location problem (RUFL), which seeks to minimize initial setup costs and expected transportation costs in normal and failure scenarios. The MIP determines the optimal facility locations as well as ...
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作者：Chen, Xin; Zhang, Yuhan; Zhou, Sean X.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong
摘要：In this paper, we establish a new preservation property of quasi-K-concavity under certain optimization operations. One important application of the result is to analyze joint inventory-pricing models for single-product periodic-review inventory systems with concave ordering costs. At each period, an ordering quantity and a selling price of the product are determined simultaneously. Demand is random but sensitive to the price. The objective is to maximize the total expected discounted profit o...
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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：We study a periodically reviewed multiechelon serial inventory system with a capacity constraint on the order quantity at every stage. Under echelon base-stock policies, we demonstrate a simple sample-path result that maps the echelon shortfalls in the serial system to the shortfalls of suitably defined single-stage systems. Because the shortfall processes of single-stage systems are well understood, our result allows us to reinterpret results in the literature on the stability and regeneratio...
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作者：Nikolaev, Alexander G.; Jacobson, Sheldon H.
作者单位：Northwestern University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper addresses a class of problems in which available resources need to be optimally allocated to a random number of jobs with stochastic parameters. Optimal policies are presented for variations of the sequential stochastic assignment problem and the dynamic stochastic knapsack problem, in which the number of arriving jobs is unknown until after the final arrival, and the job parameters are assumed to be independent but not identically distributed random variables.
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作者：Judd, Kenneth; van Ryzin, Garrett
作者单位：Columbia University
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作者：Kubler, Felix; Schmedders, Karl
作者单位：University of Zurich; Swiss Finance Institute (SFI); University of Zurich; Swiss Finance Institute (SFI)
摘要：Multiplicity of equilibria is a prevalent problem in many economic models. Often equilibria are characterized as solutions to a system of polynomial equations. This paper gives an introduction to the application of Grobner bases for finding all solutions of a polynomial system. The Shape Lemma, a key result from algebraic geometry, states under mild assumptions that a given equilibrium system has the same solution set as a much simpler triangular system. Essentially, the computation of all sol...
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作者：Schulz, Andreas S.; Uhan, Nelson A.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Purdue University System; Purdue University
摘要：We study cooperative games with supermodular costs. We show that supermodular costs arise in a variety of situations; in particular, we show that the problem of minimizing a linear function over a supermodular polyhedron-a problem that often arises in combinatorial optimization-has supermodular optimal costs. In addition, we examine the computational complexity of the least core and least core value of supermodular cost cooperative games. We show that the problem of computing the least core va...
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作者：Speight, Adam
作者单位：University of Chicago
摘要：I present a self-contained introduction to multigrid methods with an emphasis on techniques relevant to dynamic programming and related problems. A probabilistic interpretation of the numerical principles is highlighted. Multigrid solvers are shown to be naturally matched to the challenges posed by intractable structural dynamic models routinely encountered in applied economics. I argue that multigrid techniques have potential to substantially extend the scale and complexity of models under co...
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作者：Belloni, Alexandre; Lopomo, Giuseppe; Wang, Shouqiang
作者单位：Duke University
摘要：Multidimensional mechanism design problems have proven difficult to solve by extending techniques from the one-dimensional case. This paper considers mechanism design problems with multidimensional types when the seller's cost function is not separable across buyers. By adapting results obtained by Border [Border, K. 1991. Implementation of reduced form auctions: A geometric approach. Econometrica 59 1175-1187], we transform the seller's problem into a representation that only involves interim...
