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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...
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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...
