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作者：Sodhi, MS
作者单位：City St Georges, University of London
摘要：Dynamic linear programming (LP) models for asset-liability management (ALM) are quite powerful and flexible but face two challenges: (1) many modeling choices, not all consistent with one another or with finance theory, and (2) solution difficulties due to the large number of scenarios obtained from standard interest-rate models. We first survey these modeling choices with a view to help researchers make self-consistent choices. Next, we review how the dynamic LP model for ALM and the represen...
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作者：Dai, JG; Lin, WQ
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：Complex systems like semiconductor wafer fabrication facilities (fabs), networks of data switches, and large-scale call centers all demand efficient resource allocation. Deterministic models like linear programs (LP) have been used for capacity planning at both the design and expansion stages of such systems. LP-based planning is critical in setting a medium range or long-term goal for many systems, but it does not translate into a day-to-day operational policy that must deal with discreteness...
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作者：Chardaire, P; McKeown, GP; Verity-Harrison, SA; Richardson, SB
作者单位：University of East Anglia; Defence Science & Technology Laboratory; Qinetiq Group Plc
摘要：We give a formal specification for a strategic network routing problem known as the convoy movement problem (CMP) and establish that the corresponding feasibility problem is NP-complete. We then introduce an integer programming (IP) model based on the concept of a time-space network and apply a Lagrangian relaxation to this model. We discuss how the dual function may be evaluated using a modified version of Dijkstra's algorithm suitable to very large, implicitly defined graphs and show how heu...
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作者：Garcia, A; Campos-Nañez, E; Reitzes, J
作者单位：University of Virginia; George Washington University; The Brattle Group
摘要：We analyze the price-formation process in an infinite-horizon oligopoly model where hydroelectric generators engage in dynamic price-based competition. The analysis focuses on the role of indifference prices, i.e., prices that equate the gains from releasing or storing water. Strategies where players bid their indifference prices and the marginal player undercuts the lowest-cost unsuccessful bidder constitute a Markov Perfect Equilibrium (MPE) under appropriate conditions. These conditions inv...
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作者：Maglaras, C; Zeevi, A
作者单位：Columbia University
摘要：We consider a model of a service system that delivers two nonsubstitutable services to a market of heterogenous users. The first service is delivered subject to a guaranteed (G) processing rate, and the second is a best-effort (BE) type service in which residual capacity not allocated to the guaranteed class is shared among BE users. Users, in turn, are sensitive to both price and congestion-related effects. The service provider's objective is to optimally design the system so as to extract ma...
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作者：Dasci, A; Laporte, G
作者单位：University of North Carolina; University of North Carolina Charlotte; Universite de Montreal; HEC Montreal
摘要：This paper presents a simple model to determine the location strategies of two retail firms planning to open a number of stores in a geographical market. Firms try to maximize their profit under a leader-follower type competition in which the number of stores is made endogenous by the introduction of fixed costs. A novel methodology is developed in which firms' strategies are defined in terms of their location densities. This methodology leads to a model that is solvable analytically, and to s...
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作者：Topaloglu, H; Powell, WB
作者单位：Cornell University; Princeton University
摘要：This paper proposes a distributed solution approach to a certain class of dynamic resource allocation problems and develops a dynamic programming-based multiagent decision-making, learning, and communication mechanism. In the class of dynamic resource allocation problems we consider, a set of reusable resources of different types has to be assigned to tasks that arrive randomly over time. The assignment of a resource to a task removes the task from the system, modifies the state of the resourc...
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作者：Glasserman, P; Yu, B
作者单位：Columbia University
摘要：A general approach to improving simulation accuracy uses information about auxiliary control variables with known expected values to improve the estimation of unknown quantities. We analyze weighted Monte Carlo estimators that implement this idea by applying weights to independent replications. The weights are chosen to constrain the weighted averages of the control variables. We distinguish two cases (unbiased and biased), depending on whether the weighted averages of the controls are constra...
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作者：Liu, JY; Jiang, Y
作者单位：Loughborough University; Ihsan Dogramaci Bilkent University
摘要：Hoist scheduling is a typical problem in the operation of electroplating systems. The cyclic scheduling policy is widely used in these systems in industry. Research on hoist scheduling has focused on the cyclic problem to minimize the cycle length. Most previous studies consider the single-hoist case. In practice, however, more than one hoist is often used in an electroplating line. This paper addresses the two-hoist, no-wait cyclic scheduling problem, in which the tank-processing times are co...
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作者：Yang, J; Qi, XT; Xia, YS
作者单位：New Jersey Institute of Technology; Hong Kong University of Science & Technology; University System of Georgia; Georgia State University
摘要：We study the optimal production-inventory-outsourcing policy for a firm with Markovian in-house production capacity that faces independent stochastic demand and has the option to outsource. We find very simple optimal policy forms under fairly reasonable assumptions. In addition, when the capacity Markov process is stochastically monotone, the policy parameters decrease in the firm's current capacity level under additional assumptions. All these results extend to the infinite-horizon and undis...
