2010

最新文章

• Myopic Solutions of Homogeneous Sequential Decision Processes AI翻译
  作者：Sobel, Matthew J.; Wei, Wei
  作者单位：University System of Ohio; Case Western Reserve University
  摘要：An optimum of a Markov decision process (MDP) is myopic if it can be obtained by solving a series of static problems. Myopic optima are desirable because they can be computed relatively easily. We identify new classes of MDPs with myopic optima and sequential games with myopic equilibrium points. In one of the classes, the single-period reward is homogeneous with respect to the state variable. We illustrate the results with models of revenue management and investment.
• Computational Methods for Oblivious Equilibrium AI翻译
  作者：Weintraub, Gabriel Y.; Benkard, C. Lanier; Van Roy, Benjamin
  作者单位：Columbia University; Yale University; Stanford University
  摘要：Oblivious equilibrium is a new solution concept for approximating Markov-perfect equilibrium in dynamic models of imperfect competition among heterogeneous firms. In this paper, we present algorithms for computing oblivious equilibrium and for bounding approximation error. We report results from computational case studies that serve to assess both efficiency of the algorithms and accuracy of oblivious equilibrium as an approximation to Markov-perfect equilibrium. We also extend the definition ...
• On the Impact of Forward Markets on Investments in Oligopolistic Markets with Reference to Electricity AI翻译
  作者：Murphy, Frederic; Smeers, Yves
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Universite Catholique Louvain
  摘要：Allaz and Vila made the seminal contribution that forward contracts mitigate market power on the spot market. This result is widely quoted and elaborated in studies of restructured power markets, where generators can potentially exploit the special characteristics of this industry in order to extract higher prices. Allaz-Vila established their result under/the assumption that the production capacities of the players are infinite. We show that the Allaz-Vila result does not hold when capacities...
• Long-Run Equilibrium Modeling of Emissions Allowance Allocation Systems in Electric Power Markets AI翻译
  作者：Zhao, Jinye; Hobbs, Benjamin F.; Pang, Jong-Shi
  作者单位：Johns Hopkins University; Johns Hopkins University; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：Carbon dioxide allowance trading systems for electricity generators are in place in the European Union and in several U.S. states. An important question in the design of such systems is how allowances are to be initially allocated: by auction, by giving away fixed amounts (grandfathering), or by allocating based on present or recent output, investment, or other decisions. The latter system can bias investment, operations, and product pricing decisions and increase costs relative to the other s...
• A Stochastic Model for Order Book Dynamics AI翻译
  作者：Cont, Rama; Stoikov, Sasha; Talreja, Rishi
  作者单位：Columbia University
  摘要：We propose a continuous-time stochastic model for the dynamics of a limit order book. The model strikes a balance between three desirable features: it can be estimated easily from data, it captures key empirical properties of order book dynamics, and its analytical tractability allows for fast computation of various quantities of interest without resorting to. simulation. We describe a simple parameter estimation procedure based on high-frequency observations of the order book and illustrate t...
• An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation AI翻译
  作者：Lai, Guoming; Margot, Francois; 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 natural gas is a practically important problem that entails dynamic optimization of inventory trading decisions with capacity constraints in the face of uncertain natural gas price dynamics. Stochastic dynamic programming is a natural approach to this valuation problem, but it does not seem to be widely used in practice because it is at odds with the high-dimensional natural gas price evolution models that are widespread among traders. According to the...
• Robust Approximation to Multiperiod Inventory Management AI翻译
  作者：See, Chuen-Teck; Sim, Melvyn
  作者单位：National University of Singapore; Singapore-MIT Alliance for Research & Technology Centre (SMART); National University of Singapore; Nanyang Technological University; Massachusetts Institute of Technology (MIT)
  摘要：We propose a robust optimization approach to address a multiperiod inventory control problem under ambiguous demands, that is, only limited information of the demand distributions such as mean, support, and some measures of deviations. Our framework extends to correlated demands and is developed around a factor-based model, which has the ability to incorporate business factors as well as time-series forecast effects of trend, seasonality, and cyclic variations. We can obtain the parameters of ...
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems AI翻译
  作者：Delage, Erick; Ye, Yinyu
  作者单位：Universite de Montreal; HEC Montreal; Stanford University
  摘要：Stochastic programming can effectively describe many decision-making problems in uncertain environments. Unfortunately, such programs are often computationally demanding to solve. In addition, their solution can be misleading when there is ambiguity in the choice of a distribution for the random parameters. In this paper, we propose a model that describes uncertainty in both the distribution form (discrete, Gaussian, exponential, etc.) and moments (mean and covariance matrix). We demonstrate t...
• Utility-Maximizing Resource Control: Diffusion Limit and Asymptotic Optimality for a Two-Bottleneck Model AI翻译
  作者：Ye, Heng-Qing; Yao, David D.
  作者单位：Hong Kong Polytechnic University; Columbia University
  摘要：We study a stochastic network that consists of two servers shared by two classes of jobs. Class 1 jobs require a concurrent. occupancy of both servers while class 2 jobs use only one server. The traffic intensity is such that both servers are bottlenecks, meaning the service capacity is equal to the offered workload. The real-time allocation of the service capacity among the job classes takes the form of a solution to an optimization problem that maximizes a utility function. We derive the dif...
• Fair Dynamic Routing in Large-Scale Heterogeneous-Server Systems AI翻译
  作者：Armony, Mor; Ward, Amy R.
  作者单位：New York University; University of Southern California
  摘要：In a call center, there is a natural trade-off between minimizing customer wait time and fairly dividing the workload among agents of different skill levels. The relevant control is the routing policy, that is, the decision concerning which agent should handle an arriving call when more than one agent is available. We formulate an optimization problem for a call center with heterogeneous agent pools, in which each pool is distinguished by the speed at which agents in that pool handle calls. Th...