-
作者：Dert, C; Oldenkamp, B
作者单位：Vrije Universiteit Amsterdam; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：In this paper we address the problem of determining optimal portfolios that may include options in a framework of return maximization with risk constraints relative to a benchmark, as well as in terms of absolute returns. The model we propose allows for deterministic constraints as well as probabilistic constraints. We derive properties of optimal and feasible portfolios and present a linear programming model to solve the problem. The optimal portfolios have payoff functions that reflect a gam...
-
作者：Calvin, JM; Nakayama, MK
作者单位：New Jersey Institute of Technology
摘要：We prove strong laws of large numbers and central limit theorems for some permuted estimators from regenerative simulations. These limit theorems provide the basis for constructing asymptotically valid confidence intervals for the permuted estimators.
-
作者：Clifford, JJ; Posner, ME
作者单位：CNA (The Center for Naval Analyses); University System of Ohio; Ohio State University
摘要：When a production shop has a large number of identical parts, the parts are often recorded by a part description and quantity. This differs from the type of description used by standard scheduling problems, which assume that all parts or jobs are unique. In high-multiplicity scheduling problems, identical jobs are encoded in an efficient format similar to that of the production shop. The input describes one of the jobs and the number of such identicaljobs. We consider single-machine, high-mult...
-
作者：Belenguer, JM; Martinez, MC; Mota, E
作者单位：University of Valencia
摘要：In this paper we consider the Split Delivery Vehicle Routing Problem (SDVRP), a relaxation of the known Capacitated Vehicle Routing Problem (CVRP) in which the demand of any client can be serviced by more than one vehicle. We define a feasible solution of this problem, and we show that the convex hull of the associated incidence vectors is a polyhedron (P-SDVRP), whose dimension depends on whether a vehicle visiting a client must service, or not at least one unit of the client demand. From a p...
-
作者：De Vericourt, F; Karaesmen, F; Dallery, Y
作者单位：Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); Universite Paris Saclay
摘要：We consider the problem of dynamically allocating production capacity between two products to minimize the average inventory and backorder costs per unit time in a make-to-stock single machine system. Using sample path comparisons and dynamic programming, we give a characterization of the optimal hedging point policy for a certain region of the state space. The characterization is simple enough to lead to easily implementable heuristics and provides a formal justification of some of the earlie...
-
作者：Kalagnanam, JR; Dawande, MW; Trumbo, M; Lee, HS
摘要：We introduce a new problem that arises from operations planning in the process industry, This problem involves matching an order book against surplus inventory before production planning. It can be formulated by generalizing the multiple knapsack problem along three dimensions: (i) adding assignment restrictions on items that can be assigned to a knapsack, (ii) adding a new attribute (called color in this paper) to an item and then adding the associated color constraints that restrict the numb...
-
作者：Dawson, CS; McCallum, CJ; Murphy, RB; Wolman, E
作者单位：George Mason University
摘要：This historical account of operations research at Bell Laboratories was drafted in the late 1970s when the authors were part of the Operations Research Center within Bell Laboratories at AT&T; it has not previously appeared in the open literature. We have added a few references to later publications that describe particular aspects of the period covered. Discussions of technological practices and organizational arrangements expressed in the present tense represent a viewpoint of about 1980, be...
-
作者：Ormerod, R; Delibassi, P; Morris, C
作者单位：University of Warwick
摘要：Reisman and Kirschnick (1995) have defined seven process categories among OR/MS research strategies and analysed the contents of U.S. flagship OR/MS journals in 1992 to examine how often OR/MS workers use these processes. We have applied their method of analysis to the 1994 contents of the U.K. flagship journal, the Journal of the Operational Research Society. As well as providing some insight into the nature of OR/MS research in the United Kingdom, the results enable a comparison to be made w...
-
作者：Courcoubetis, C; Kelly, F; Weber, R
作者单位：University of Cambridge
摘要：We study usage-sensitive charging schemes for broadband communications networks. We argue that a connection's effective bandwidth is a good proxy for the quantity of network resource that the connection consumes and can be the basis for a usage charge. The determination of effective bandwidth can be problematic, however, since it involves the moment-generating function of the cell arrival process, which may be difficult to modeler measure. This article describes methods of computing usage char...
-
作者：Zenios, SAA; Chertow, GM; Wein, LM
作者单位：Stanford University; University of California System; University of California San Francisco; Massachusetts Institute of Technology (MIT)
摘要：The crux of the kidney allocation problem is the trade-off between clinical efficiency and equity. We consider a dynamic resource allocation problem with the tri-criteria objective of maximizing the quality-adjusted life expectancy of transplant candidates (clinical efficiency) and minimizing two measures of inequity: a linear function of the likelihood of transplantation of the various types of patients, and a quadratic function that quantities the differences in mean waiting times across pat...
