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作者：Seshadri, S; Khanna, A; Harche, F; Wyle, R
作者单位：New York University
摘要：Strategic asset-liability management is a primary concern in today's banking environment. In this paper, we present a methodology to assist in the process of asset-liability selection in a stochastic interest rate environment. In our approach, a quadratic optimizer is embedded in a simulation model and used to generate patterns of dividends, market value and duration of capital, for randomly generated interest rate scenarios. This approach can be used to formulate, test, and refine asset-liabi...
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作者：Luss, H
作者单位：Ericsson; Telcordia Technologies; AT&T
摘要：In this expository paper, we review a variety of resource allocation problems in which it is desirable to allocate limited resources equitably among competing activities. Applications for such problems are found in diverse areas, including distribution planning, production planning and scheduling, and emergency services location. Each activity is associated with a performance function, representing for example, the weighted shortfall of the selected activity level from a specified target. A re...
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作者：Bertsimas, D; Chryssikou, T
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We consider the problem of maximizing a weighted sum of expected rewards in steady-state in multiclass loss networks under dynamic routing and admission control, with Poisson arrivals and exponentially distributed holding times. By aggregating the underlying Markov decision process, we derive linear programming relaxations that contain the achievable performance region under all admissible policies and lead to a series of progressively tighter upper bounds. These relaxations allow stronger bou...
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作者：Balakrishnan, A; Vanderbeck, F
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Universite de Bordeaux
摘要：This paper develops an optimization model and methodology to support tactical planning in a high mix, low volume electronics assembly environment. The model assigns product families to parallel surface mount assembly lines to minimize setup cost on the placement machines while ensuring that the facilities are not overloaded. To capture the impact of product assignment decisions on setup cost, we consider a partial setup policy of mounting some components permanently on each placement machine a...
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作者：Yao, DD; Zheng, SH
作者单位：Columbia University; Hong Kong University of Science & Technology
摘要：We study the inspection process in the context of multistage batch manufacturing, focusing on interstage coordination under capacity limits. The problem is formulated as a constrained Markov decision program. We establish the optimality of a sequential policy that is characterized by a sequence of thresholds, with certain randomization at the thresholds. We further show that such an optimal policy can be completely derived through solving a linear program, and that randomization is needed at n...
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作者：Cai, XQ; Zhou, S
作者单位：Chinese University of Hong Kong; Hong Kong Polytechnic University
摘要：This paper addresses a stochastic scheduling problem in which a set of independent jobs are to be processed by a number of identical parallel machines under a common deadline. Each job has a processing time, which is a random variable with an arbitrary distribution. Each machine is subject to stochastic breakdowns, which are characterized by a Poisson process. The deadline is an exponentially distributed random variable. The objective is to minimize the expected costs for earliness and tardine...
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作者：Frostig, E; Levikson, B
作者单位：University of Haifa
摘要：We consider here the optimal routing of customers, arriving to a system consisting of two heterogeneous parallel servers. The service times of the two servers have an increasing hazard rate. The arrival process is a general renewal process. The cost of holding x customers in the system per time unit is a nondecreasing and convex function. The objective is to minimize the expected discounted holding cost. We show some monotonicity properties of the optimal policy. Then we show that the optimal ...
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作者：Goldfarb, D; Jin, ZY
作者单位：Columbia University
摘要：We present an O(nm)-time network simplex algorithm for finding a tree of shortest paths from a given node to all other nodes in a network of n nodes and m directed arcs or finding a directed cycle of negative length. The worst-case running time of this algorithm is as fast as that proved for any strongly polynomial algorithm and faster than that proved for any previously proposed simplex algorithm for this problem. We also show that this algorithm can be implemented in O(nlogn) time using O((m...
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作者：Caron, G; Hansen, P; Jaumard, B
作者单位：Universite de Montreal; Polytechnique Montreal; Universite de Montreal; HEC Montreal
摘要：Consider an assignment problem in which persons are qualified for some but usually not all of the jobs. Moreover: assume persons belong to given seniority classes and jobs have given priority levels. Seniority constraints impose that the solution be such that no unassigned person can be given a job unless an assigned person with the same or higher seniority becomes unassigned. Priority constraints specify that the solution must be such that no unassigned job can become assigned without a job w...
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作者：Federgruen, A; Heching, A
作者单位：Columbia University
摘要：This paper addresses the simultaneous determination of pricing and inventory replenishment strategies in the face of demand uncertainty. More specifically, we analyze the following single item, periodic review model. Demands in consecutive periods are independent, but their distributions depend on the item's price in accordance with general stochastic demand functions. The price charged in any given period can be specified dynamically as a function of the state of the system. A replenishment o...
