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作者：Ding, XM; Bisi, A; Puterman, ML
作者单位：PepsiCo; Purdue University System; Purdue University; University of British Columbia
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作者：Brown, G; Carlyle, M; Diehl, D; Kline, J; Wood, K
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：We describe JOINT DEFENDER, a new two-sided optimization model for planning the pre-positioning of defensive missile interceptors to counter an attack threat. In our basic model, a defender pre-positions ballistic missile defense platforms to minimize the worst-case damage an attacker can achieve; we assume that the attacker will be aware of defensive pre-positioning decisions, and that both sides have complete information as to target values, attacking-missile launch sites, weapon system capa...
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作者：Broadie, M; Yamamoto, Y
作者单位：Columbia University; Nagoya University
摘要：This paper develops algorithms for the pricing of discretely sampled barrier, lookback, and hindsight options and discretely exercisable American options. Under the Black-Scholes framework, the pricing of these options can be reduced to evaluation of a series of convolutions of the Gaussian distribution and a known function. We compute these convolutions efficiently using the double-exponential integration formula and the fast Gauss transform. The resulting algorithms have computational comple...
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作者：Nilim, A; El Ghaoui, L
作者单位：University of California System; University of California Berkeley
摘要：Optimal solutions to Markov decision problems may be very sensitive with respect to the state transition probabilities. In many practical problems, the estimation of these probabilities is far from accurate. Hence, estimation errors are limiting factors in applying Markov decision processes to real-world problems. We consider a robust control problem for a finite-state, finite-action Markov decision process, where uncertainty on the transition matrices is described in terms of possibly nonconv...
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作者：Gabriel, SA; Kiet, S; Zhuang, JF
作者单位：University System of Maryland; University of Maryland College Park
摘要：We present a new multiseasonal, multiyear, natural gas market equilibrium model based on the concept of a competitive equilibrium involving the market participants: producers, storage reservoir operators, peak gas operators, pipeline operators, marketers, and consumers. The first three classes are depicted as price-takers consistent with perfect competition. The pipeline operations are described with regulated tariffs, but also involve congestion pricing as a mechanism to allocate scarce pipel...
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作者：Salazar-González, JJ
作者单位：Universidad de la Laguna
摘要：This paper concerns statistical disclosure control methods to minimize information loss while keeping small the disclosure risk from different data snoopers. This issue is of primary importance in practice for statistical agencies when publishing data. It is assumed that the sensitive data have been identified by practitioners in the statistical offices, and the paper addresses the secondary problem of protecting these data with different methods, all defined in a unified mathematical framewor...
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作者：Armstrong, MJ
作者单位：Carleton University
摘要：In this paper, we propose a stochastic version of the salvo model for modem naval surface combat. We derive expressions for the mean and variance of surviving force strengths and for the probabilities of the possible salvo outcomes in forms simple enough to be implemented in spreadsheet software. Numerical comparisons of the deterministic and stochastic models indicate that while the two models tend to provide similar estimates of the average number of ships surviving a salvo, this average by ...
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作者：Ata, B
作者单位：Northwestern University
摘要：A controller dynamically chooses a state-dependent transmission rate on a static, point-to-point wireless link by varying transmission power over time. The transmitter is modeled as a finite-buffer Markovian queue with adjustable service rates. That is, data packets arrive to the system according to a Poisson process, and packet size is exponentially distributed. The controller chooses a transmission rate from a fixed set A of available values, depending on the backlog in the system. The objec...
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作者：Hopp, WJ; Iravani, SMR; Shou, BY
作者单位：Northwestern University
摘要：To gain insights into the design and control of manufacturing cells with automation, we study simple models of serial production systems where one flexible worker attends a set of automated stations. We (a) characterize the operational benefits of automation, (b) determine the most desirable placement of automation within a line, and (c) investigate how best to allocate labor dynamically in a line with manual and automatic equipment. We do this by first considering two-station Markov decision ...
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作者：Chick, SE; Wu, YZ
作者单位：INSEAD Business School
摘要：Selection procedures help identify the best of a finite set of simulated alternatives. Most work has measured the quality of a selection with the probability of correct selection, P(CS), but the expected opportunity cost of a potentially incorrect decision makes more sense in business contexts. This paper analyzes the first selection procedures that guarantee an upper bound for the expected opportunity cost, in a frequentist sense, of a potentially incorrect selection. The paper therefore brid...
