4期

最新文章

• RFQ Auctions with Supplier Qualification Screening AI翻译
  作者：Wan, Zhixi; Beil, Damian R.
  作者单位：University of Michigan System; University of Michigan
  摘要：We consider a manufacturer using a request-for-quotes (RFQ) reverse auction in combination with supplier qualification screening to determine which qualified supplier will be awarded a contract. Supplier qualification screening is costly for the manufacturer-for example, involving reference checks, financial audits, and on-site visits. The manufacturer seeks to minimize its total procurement costs, i.e., the contract payment plus qualification costs. Although suppliers can be qualified prior t...
• Toward Robust Revenue Management: Competitive Analysis of Online Booking AI翻译
  作者：Ball, Michael O.; Queyranne, Maurice
  作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; University of British Columbia
  摘要：In this paper, we consider the revenue management problem from the perspective of online algorithms. This approach eliminates the need for both demand forecasts and a risk-neutrality assumption. The competitive ratio of a policy relative to a given input sequence is the ratio of the policy's performance to the offline optimal. Under the online algorithm approach, revenue management policies are evaluated based on the highest competitive ratio they can guarantee. We are able to define lower bou...
• Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse AI翻译
  作者：Mehrotra, Sanjay; Ozevin, M. Gokhan
  作者单位：Northwestern University
  摘要：Zhao showed that the log barrier associated with the recourse function of two-stage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self-concordant family on the first-stage solutions. In this paper, we show that the recourse function is also strongly self-concordant and forms a self-concordant family for the two-stage stochastic convex quadratic programs with recourse. This allows us to develop Bender's decomposition based linearly convergent interior poin...
• Index Policies for the Admission Control and Routing of Impatient Customers to Heterogeneous Service Stations AI翻译
  作者：Glazebrook, K. D.; Kirkbride, C.; Ouenniche, J.
  作者单位：Lancaster University; Lancaster University; University of Edinburgh
  摘要：We propose a general Markovian model for the optimal control of admissions and subsequent routing of customers for service provided by a collection of heterogeneous stations. Queue-length information is available to inform all decisions. Admitted customers will abandon the system if required to wait too long for service. The optimisation goal is the maximisation of reward rate earned from service completions, net of the penalties paid whenever admission is denied, and the costs incurred upon e...
• Time-Changed Birth Processes and Multiname Credit Derivatives AI翻译
  作者：Ding, Xiaowei; Giesecke, Kay; Tomecek, Pascal I.
  作者单位：Stanford University; JP Morgan Chase & Company
  摘要：A credit investor such as a bank granting loans to firms or an asset manager buying corporate bonds is exposed to correlated corporate default risk. A multiname credit derivative is a financial security that allows the investor to transfer this risk to the credit market. In this paper, we study the valuation and risk analysis of multiname derivatives. To capture the complex economic phenomena that drive the pricing of these securities, we introduce a time-changed birth process as a probabilist...
• Connectivity Measures for Internet Topologies on the Level of Autonomous Systems AI翻译
  作者：Erlebach, Thomas; Moonen, Linda S.; Spieksma, Frits C. R.; Vukadinovic, Danica
  作者单位：University of Leicester; KU Leuven; Swiss Federal Institutes of Technology Domain; ETH Zurich
  摘要：Classical measures of network connectivity are the number of disjoint paths between a pair of nodes and the size of a minimum cut. For standard graphs, these measures can be computed efficiently using network flow techniques. However, in the Internet on the level of autonomous systems (ASs), referred to as AS-level Internet, routing policies impose restrictions on the paths that traffic can take in the network. These restrictions can be captured by the valley-free path model, which assumes a s...
• Optimal Real-Time Traffic Control in Metro Stations AI翻译
  作者：Mannino, Carlo; Mascis, Alessandro
  作者单位：Sapienza University Rome
  摘要：Train movements across railway stations are still operated by human dispatchers. Motivated by an application provided by Azienda Trasporti Milanesi (ATM), the major Italian municipal transport company, we developed a real-time automated traffic control system to operate trains in metro stations. The system optimally controls the trains in a metro station by identifying a suitable routing and by establishing an optimum schedule of the performed operations. For each candidate routing an instance...
• A Risk-Averse Newsvendor Model Under the CVaR Criterion AI翻译
  作者：Chen, Youhua (Frank); Xu, Minghui; Zhang, Zhe George
  作者单位：Chinese University of Hong Kong; Wuhan University; Western Washington University; Simon Fraser University
  摘要：The classical risk-neutral newsvendor problem is to decide the order quantity that maximizes the one-period expected profit. In this note, we consider a risk-averse newsvendor with stochastic price-dependent demand. We adopt Conditional Value-at-Risk (CVaR), a risk measure commonly used in finance, as the decision criterion. The aim of our study is to investigate the optimal pricing and ordering decisions in such a setting. For both additive and multiplicative demand models, we provide suffici...