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作者：Cooper, WW; Park, KS; Yu, G
作者单位：University of Texas System; University of Texas Austin; University of Ulsan
摘要：Data Envelopment Analysis (DEA) models, as ordinarily employed, assume that the data for all inputs and outputs are known exactly. In some applications, however, a number of factors may involve imprecise data, which take forms such as ordinal rankings and knowledge only of bounds. Here we provide an example involving a Korean mobile telecommunication company. The Imprecise Data Envelopment Analysis (IDEA) method we use permits us to deal not only with imprecise data and exact data but also wit...
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作者：Boucher, J; Smeers, Y
作者单位：Universite Catholique Louvain
摘要：Different equilibrium concepts have been proposed by various authors (Schweppe et al., Hogan et al., Chao and Peck, Wu et al.) to analyse competitive electricity systems. We establish correspondences between these different models through a single framework and provide additional interpretations of these equilibrium concepts. This unifying conceptual view also provides a computationally feasible approach to simulate the market. It also opens the way to the modeling of some imperfect markets.
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作者：Chen, FR; Federgruen, A; Zheng, YS
作者单位：Columbia University; University of Pennsylvania
摘要：This paper integrates pricing and replenishment decisions for the following prototypical two-echelon distribution system with deterministic demands. A supplier distributes a single product to multiple retailers, who in turn sell it to consumers. The retailers serve geographically dispersed, heterogeneous markets. The demand in each retail market arrives continuously at a constant rate, which is a general decreasing function of the retail price in the market. The supplier replenishes its invent...
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作者：Hall, NG; Posner, ME
作者单位：University System of Ohio; Ohio State University; University System of Ohio; Ohio State University
摘要：The operations research literature provides little guidance about how data should be generated for the computational testing of algorithms or heuristic procedures. We discuss several widely used data generation schemes, and demonstrate that they may introduce biases into computational results. Moreover, such schemes are often not representative of the way data arises in practical situations. We address these deficiencies by describing several principles for data generation and several properti...
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作者：Romeijn, HE; Morales, DR
作者单位：State University System of Florida; University of Florida; Maastricht University
摘要：The Generalized Assignment Problem (GAP) is the problem of finding the minimal cost assignment of jobs to machines such that each job is assigned to exactly one machine, subject to capacity restrictions on the machines. We propose a new stochastic model for the GAP. A tight condition on this stochastic model under which the GAP is feasible with probability one when the number of jobs goes to infinity is derived. This new stochastic model enables its to analyze the adequacy of most of the rando...
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作者：Gondzio, J; Kouwenberg, R
作者单位：University of Edinburgh; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Financial institutions require sophisticated tools for risk management. For companywide risk management, both sides of the balance sheet should be considered, resulting in an integrated asset-liability management approach. Stochastic programming models suit these needs well and have already been applied in the field of asset-liability management to improve financial operations and risk management. The dynamic aspect of the financial planning problems inevitably leads to multiple decision stage...
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作者：Koole, G; Liu, Z; Righter, R
作者单位：Vrije Universiteit Amsterdam; International Business Machines (IBM); IBM USA; Santa Clara University
摘要：We consider transmission policies for multiple users sharing a single wireless link to a base station. The noise. and hence the probability of correct transmission of a packet. depends on the state of the user receiving the packet. The state for each user is independent of the states of the other users and changes according to a two-state (good/bad) Markov chain. The state of a user is observed only when it transmits. We give conditions under which the optimal policy is the myopic policy, in w...
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作者：Juneja, S
作者单位：Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Delhi
摘要：The method of importance sampling is widely used for efficient rare-event simulation of stochastic systems. This method involves simulating the system under a new distribution that accentuates the probability along the most likely paths to the rare event. Traditionally, insights from large deviations theory are used to identify the distribution emphasizing these most likely paths. In this paper we develop an intuitive cyclic approach for selecting such a distribution. The key idea is to select...
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作者：Karabati, S; Kouvelis, P; Yu, G
作者单位：Koc University; Washington University (WUSTL); University of Texas System; University of Texas Austin
摘要：In this paper we consider a class of discrete resource-allocation problems with a min-max-sum objective function. We first provide several examples of practical applications of this problem. We then develop a branch-and-bound procedure for solving the general case of this computationally intractable problem. The proposed solution procedure employs a surrogate relaxation technique to obtain lower and upper bounds on the optimal objective function value of the problem. To obtain the multipliers ...
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作者：Glasserman, P; Staum, J
作者单位：Columbia University; Cornell University
摘要：Pricing financial options often requires Monte Carlo methods. One particular case is that of barrier options, whose payoff may be zero depending on whether or not an underlying asset crosses a barrier during the life of the option. This paper develops variance reduction techniques that take advantage of the special structure of barrier options, and are appropriate for general simulation problems with similar structure. We use a change of measure at each step of the simulation to reduce the var...
