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作者：Haugh, Martin B.; Kogan, Leonid; Wang, Jiang
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable, in which case a direct comparison is impossible. In this paper, we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This construction is based on a dual formulation of the portfolio optimization problem. When the upper bo...
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作者：Bassamboo, Achal; Harrison, J. Michael; Zeevi, Assaf
作者单位：Northwestern University; Stanford University; Columbia University
摘要：This paper analyzes a call center model with m customer classes and r agent pools. The model is one with doubly stochastic arrivals, which means that the m-vector lambda of instantaneous arrival rates is allowed to vary both temporally and stochastically. Two levels of call center management are considered: staffing the r pools of agents, and dynamically routing calls to agents. The system manager's objective is to minimize the sum of personnel costs and abandonment penalties. We consider a li...
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作者：Larsson, Torbjorn; Patriksson, Michael
作者单位：Linkoping University; Chalmers University of Technology
摘要：The well-known and established global optimality conditions based on the Lagrangian formulation of an optimization problem are consistent if and only if the duality gap is zero. We develop a set of global optimality conditions that are structurally similar but are consistent for any size of the duality gap. This system characterizes a primal-dual optimal solution by means of primal and dual feasibility, primal Lagrangian epsilon-optimality, and, in the presence of inequality constraints, a rel...
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作者：Ben Amor, Hatem; Desrosiers, Jacques; Valerio de Carvalho, Jose Manuel
作者单位：Universite de Montreal; Universite de Montreal; HEC Montreal; Universite de Montreal; Universidade do Minho
摘要：Column generation is one of the most successful approaches for solving large-scale linear programming problems. However, degeneracy difficulties and long-tail effects are known to occur as problems become larger. In recent years, several stabilization techniques of the dual variables have proven to be effective. We study the use of two types of dual-optimal inequalities to accelerate and stabilize the whole convergence process. Added to the dual formulation, these constraints are satisfied by ...
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作者：Chou, Mabel C.; Liu, Hui; Queyranne, Maurice; Simchi-Levi, David
作者单位：National University of Singapore; Verizon Communications; University of British Columbia; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider the stochastic single-machine problem, when the objective is to minimize the expected total weighted completion time of a set of jobs that are released over time. We assume that the existence and the parameters of each job including its release date, weight, and expected processing times are not known until its release date. The actual processing times are not known until processing is completed. We analyze the performance of the on-line nonpreemptive weighted shortest expected pro...
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作者：Kim, SH; Nelson, BL
作者单位：University System of Georgia; Georgia Institute of Technology; Northwestern University
摘要：We present fully sequential procedures for steady-state simulation that are designed to select the best of a finite number of simulated systems when best is defined by the largest or smallest long-run average performance. We also provide a framework for establishing the asymptotic validity of such procedures and prove the validity of our procedures. An example based on the M/M/1 queue is given.
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作者：Ahamed, T. P. I.; Borkar, V. S.; Juneja, S.
作者单位：Thangal Kunju Musaliar College of Engineering; Tata Institute of Fundamental Research (TIFR)
摘要：For a discrete-time finite-state Markov chain, we develop an adaptive importance sampling scheme to estimate the expected total cost before hitting a set of terminal states. This scheme updates the change of measure at every transition using constant or decreasing step-size stochastic approximation. The updates are shown to concentrate asymptotically in a neighborhood of the desired zero-variance estimator. Through simulation experiments on simple Markovian queues, we observe that the proposed...
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作者：Lan, Wei-Min; Olsen, Tava Lennon
作者单位：University of Michigan System; University of Michigan; Washington University (WUSTL)
摘要：This paper considers a multiproduct, single-server production system where both setup times and costs are incurred whenever the server changes product. The system is make-to-order with a per unit backlogging cost. The objective is to minimize the long-run average cost per unit time. Using a fluid model, we provide a closed-form lower bound on system performance. This bound is also shown to provide a lower bound for stochastic systems when scheduling is local or static, but is only an approxima...
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作者：Karalli, SM; Flowers, AD
作者单位：California State University System; California State University Sacramento; University System of Ohio; Case Western Reserve University
摘要：The multiple-family economic lot scheduling problem with safety stocks (MFELSP-SS) with normally distributed, time-stationary demand is considered in a manufacturing setting where the relevant costs include family setup costs, item setup costs, and inventory holding costs for both cycle and safety stocks. A family is a subset of the items that share a common family setup with its associated setup cost and setup time. Each item within the family may have its own setup time and setup cost. The f...
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作者：DeCroix, GA
作者单位：Duke University
摘要：We analyze a multiechelon inventory system with inventory stages arranged in series. In addition to traditional forward material flows, used products are returned to a recovery facility, where they can be stored, disposed, or remanufactured and shipped to one of the stages to re-enter the forward flow of material. This system combines the key elements of two simpler systems: the series system studied by Clark and Scarf (1960) and the single-stage remanufacturing systems studied by Simpson (197...
