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作者：Bunn, Derek W.; Oliveira, Fernando S.
作者单位：University of London; London Business School; ESSEC Business School
摘要：This paper presents a large-scale computationally intensive model for understanding the dynamic strategic evolution of electricity-generating asset portfolios in response to various market interventions, and the consequent longer-term effects of such changes on market structure and prices. We formulate a multistage model involving a Cournot representation of the wholesale electricity market, the performance of which then determines plant trading between players and the coevolution of market st...
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作者：Muthuraman, Kumar; Aouam, Tarik; Rardin, Ronald
作者单位：University of Texas System; University of Texas Austin; Al Akhawayn University; University of Arkansas System; University of Arkansas Fayetteville
摘要：Local distribution companies (LDCs) play the role of purchasing and delivering natural gas to their consumers, and state regulators oversee the pricing of natural gas to consumers. The common method of regulation, based on the cost of service, provides arguably little incentive for the LDC to optimally manage their procurement activities. In the light of recent deregulation and other changes, benchmarking-based regulatory schemes are being increasingly perceived as the right direction to pursu...
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作者：Jose, Victor Richmond R.; Nau, Robert F.; Winkler, Robert L.
作者单位：Duke University
摘要：Information measures arise in many disciplines, including forecasting (where scoring rules are used to provide incentives for probability estimation), signal processing (where information gain is measured in physical units of relative entropy), decision analysis (where new information can lead to improved decisions), and finance (where investors optimize portfolios based on their private information and risk preferences). In this paper, we generalize the two most commonly used parametric famil...
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作者：Plambeck, Erica L.
作者单位：Stanford University
摘要：This paper examines a two-tier assemble-to-order system. Customer orders for various products must be filled within the product-specific target lead time, or become lost sales. A product can be assembled instantaneously if its required components are in stock at the assembly facility. The production facility for each component is geographically distant from the assembly facility, and the transportation lead time is deterministic. Each shipment of components incurs a fixed cost and a variable c...
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作者：Guan, Yongpei; Miller, Andrew J.
作者单位：University of Oklahoma System; University of Oklahoma - Norman; University of Wisconsin System; University of Wisconsin Madison
摘要：In 1958, Wagner and Whitin published a seminal paper on the deterministic uncapacitated lot-sizing problem, a fundamental model that is embedded in many practical production planning problems. In this paper, we consider a basic version of this model in which problem parameters are stochastic: the stochastic uncapacitated lot-sizing problem. We de. ne the production-path property of an optimal solution for our model and use this property to develop a backward dynamic programming recursion. This...
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作者：Levi, Retsef; Roundy, Robin O.; Shmoys, David B.; Truong, Van Anh
作者单位：Massachusetts Institute of Technology (MIT); Cornell University; Cornell University
摘要：we develop the first algorithmic approach to compute provably good ordering policies for a multiperiod, capacitated, stochastic inventory system facing stochastic nonstationary and correlated demands that evolve over time. Our approach is computationally efficient and guaranteed to produce a policy with total expected cost no more than twice that of an optimal policy. As part of our computational approach, we propose a novel scheme to account for backlogging costs in a capacitated, multiperiod...
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作者：Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
作者单位：Columbia University; Korea Advanced Institute of Science & Technology (KAIST); Columbia University
摘要：This paper develops rare-event simulation methods for the estimation of portfolio credit risk-the risk of losses to a portfolio resulting from defaults of assets in the portfolio. Portfolio credit risk is measured through probabilities of large losses, which are typically due to defaults of many obligors (sources of credit risk) to which a portfolio is exposed. An essential element of a portfolio view of credit risk is a model of dependence between these sources of credit risk: large losses oc...
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作者：Chan, Wai Kin (Victor); Schruben, Lee
作者单位：Rensselaer Polytechnic Institute; University of California System; University of California Berkeley
摘要：A methodology is given for modeling the dynamics of discrete-event stochastic systems as optimization problems. The intent is to provide a means to utilize the rich mathematical theory and algorithms of optimization in the study of this important class of systems. A procedure for mapping a simulation event relationship graph into a mixed-integer program is presented, along with examples of queueing networks and manufacturing systems that illustrate the approach. Several potential applications ...
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作者：Berk, Emre; Gurler, Ulku
作者单位：Ihsan Dogramaci Bilkent University; Ihsan Dogramaci Bilkent University
摘要：We consider a perishable inventory system with Poisson demands, fixed shelf lives, constant lead times, and lost sales in the presence of nonnegligible fixed ordering costs. The inventory control policy employed is the continuous-review (Q, r) policy, where r < Q. The system is modeled using an embedded Markov process approach by introducing the concept of the effective shelf life of a batch in use. Using the stationary distribution of the effective shelf life, we obtain the expressions for th...
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作者：Aydin, Goker; Porteus, Evan L.
作者单位：University of Michigan System; University of Michigan; Stanford University
摘要：We seek optimal inventory levels and prices of multiple products in a given assortment in a newsvendor model (single period, stochastic demand) under price-based substitution, but not stockout-based substitution. We address a demand model involving multiplicative uncertainty, motivated by market share models often used in marketing. The pricing problem that arises is known not to be well behaved in the sense that, in its deterministic version, the objective function is not jointly quasi-concav...
