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作者：Zipkin, Paul
作者单位：Duke University
摘要：We consider the notoriously difficult discrete-time inventory model with stochastic demands, a constant lead time, and lost sales. We show that the effective state space is a relatively manageable compact set. Then, we test various plausible heuristics. We find that several perform reasonably well, although none is perfect. However, the standard base-stock policy (a direct analogue of the optimal policy for a backlog system) performs badly. We also show that the optimal cost is increasing in t...
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作者：Song, Haiqing; Hsu, Vernon N.; Cheung, Raymond K.
作者单位：Sun Yat Sen University; University of New South Wales Sydney; George Mason University; Hong Kong University of Science & Technology
摘要：We study a problem faced by a third-party logistics provider (3PL) who needs to coordinate shipments between suppliers and customers through a consolidation center in a distribution network. Products from a supplier have one release time and are consolidated into a single shipment to the consolidation center. At the center, products to the same destination are also consolidated into a single shipment, and the consolidation time can be as early as possible or as late as possible, depending on t...
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作者：Liang, Liang; Wu, Jie; Cook, Wade D.; Zhu, Joe
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; York University - Canada; Worcester Polytechnic Institute
摘要：In this paper, we examine the cross-efficiency concept in data envelopment analysis (DEA). Cross efficiency links one decision-making unit's (DMU) performance with others and has the appeal that scores arise from peer evaluation. However, a number of the current cross-efficiency approaches are. awed because they use scores that are arbitrary in that they depend on a particular set of optimal DEA weights generated by the computer code in use at the time. One set of optimal DEA weights (possibly...
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作者：Baucells, Manel; Carrasco, Juan A.; Hogarth, Robin M.
作者单位：University of Navarra; IESE Business School; Universitat Politecnica de Catalunya; ICREA; Pompeu Fabra University
摘要：We study the effectiveness of simple heuristics in multiattribute decision making. We consider the case of an additive separable utility function with nonnegative, nonincreasing attribute weights. In this case, cumulative dominance ensures that the so-called cumulative dominance compliant heuristics will choose a best alternative. For the case of binary attribute values and under two probabilistic models of the decision environment generalizing a simple Bernoulli model, we obtain the probabili...
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作者：Feng, Youyi; Xiao, Baichun
作者单位：Chinese University of Hong Kong; Long Island University; Long Island University Post; Southwest Jiaotong University
摘要：This article presents a risk-sensitive model for managing perishable products assuming the supplier is averse to the variation of revenues. While traditional risk-neutral revenue management models offer optimal strategies in the long run, they are exposed to the variation of revenue flows. If a short-term revenue target is a primary concern for the supplier, the risk-neutral assumption fails to provide the best policy needed. The proposed model uses an exponential function with a risk-sensitiv...
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作者：Huang, Boray; Iravani, Seyed M. R.
作者单位：National University of Singapore; Northwestern University
摘要：This paper examines the impact of customer order sizes on a make-to-stock system with multiple demand classes. We first characterize the manufacturer's optimal production and rationing policies when the demand is nonunitary and lost if unsatisfied. We also investigate the optimal policies of a backorder system with two demand classes and fixed order sizes. Through a numerical study, we show the effects of batch orders on the manufacturer's inventory cost as well as on the benefit of optimal st...
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作者：Geyer, Alois; Ziemba, William T.
作者单位：Vienna University of Economics & Business; University of British Columbia; University of Reading
摘要：This paper describes the financial planning model InnoALM we developed at Innovest for the Austrian pension fund of the electronics firm Siemens. The model uses a multiperiod stochastic linear programming framework with a flexible number of time periods of varying length. Uncertainty is modeled using multiperiod discrete probability scenarios for random return and other model parameters. The correlations across asset classes, of bonds, stocks, cash, and other financial instruments, are state d...
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作者：Kaniel, Ron; Tompaidis, Stathis; Zemlianov, Alexander
作者单位：Duke University; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：We propose an algorithm to calculate confidence intervals for the values of hedging parameters of discretely exercisable options using Monte Carlo simulation. The algorithm is based on a combination of the duality formulation of the optimal stopping problem for pricing discretely exercisable options and Monte Carlo estimation of hedging parameters for European options. We show that the width of the confidence interval for a hedging parameter decreases, with an increase in the computer budget, ...
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作者：Allon, Gad; Federgruen, Awi
作者单位：Northwestern University; Columbia University
摘要：In many service industries, companies compete with each other on the basis of the waiting time their customers experience, along with the price they charge for their service. A firm's waiting-time standard may either be defined in terms of the expected value or a given, for example 95%, percentile of the steady state waiting-time distribution. We investigate how a service industry's competitive behavior depends on the characteristics of the service providers' queueing systems. We provide a uni...
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作者：Veeraraghavan, Senthil; Scheller-Wolf, Alan
作者单位：University of Pennsylvania; Carnegie Mellon University
摘要：We examine a possibly capacitated, periodically reviewed, single-stage inventory system where replenishment can be obtained either through a regular fixed lead time channel, or, for a premium, via a channel with a smaller fixed lead time. We consider the case when the unsatisfied demands are backordered over an infinite horizon, introducing the easily implementable, yet informationally rich dual-index policy. We show very general separability results for the optimal parameter values, providing...
