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作者：Begen, Mehmet A.; Queyranne, Maurice
作者单位：Western University (University of Western Ontario); University of British Columbia
摘要：We consider the problem of determining an optimal appointment schedule for a given sequence of jobs (e. g., medical procedures) on a single processor (e. g., operating room, examination facility, physician), to minimize the expected total underage and overage costs when each job has a random processing duration given by a joint discrete probability distribution. Simple conditions on the cost rates imply that the objective function is submodular and L-convex. Then there exists an optimal appoin...
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作者：Grandoni, Fabrizio; Rothvoss, Thomas; Sanita, Laura
作者单位：University of Rome Tor Vergata; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：The virtual private network problem (VPN) models scenarios in which traffic is uncertain or rapidly changing. The goal is supporting at minimum cost a given family of traffic matrices, which are implicitly given by upper bounds on the ingoing and outgoing traffic at each node. Costs are classically defined by a linear function (linear VPN), but we consider here also the more general case of concave increasing costs (concave VPN). In this paper we give the first constant factor approximation fo...
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作者：Lon, Pui Chan; Zervos, Mihail
作者单位：University of London; London School Economics & Political Science
摘要：We formulate and solve a problem that combines the features of the so-called monotone follower of singular stochastic control theory with optimal stopping. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Ito diffusion. The aim of the problem that we solve is to maximise the utility derived from the system's state at the discretionary time when the system's control is terminated. This objective is reflected by the perfor...
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作者：Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo; Montrucchio, Luigi
作者单位：Bocconi University; Bocconi University; University of Turin; University of Turin; Collegio Carlo Alberto
摘要：We introduce a notion of complete monotone quasiconcave duality, motivated by some economic applications. We show that this duality holds for important classes of quasiconcave functions.
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作者：Dai, J. G.; Tezcan, Tolga
作者单位：University System of Georgia; Georgia Institute of Technology; University of Rochester
摘要：We consider a class of queueing systems that consist of server pools in parallel and multiple customer classes. Customer service times are assumed to be exponentially distributed. We study the asymptotic behavior of these queueing systems in a heavy traffic regime that is known as the Halfin-Whitt many-server asymptotic regime. Our main contribution is a general framework for establishing state space collapse results in this regime for parallel server systems. In our work, state space collapse...
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作者：Pennanen, Teemu
作者单位：University of Jyvaskyla
摘要：This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from operations research and mathematical finance. The unification allows the extension of some useful techniques from these two fields to a much wider class of problems. In particular, combining certain finite-dimensional techniques from convex analysis with measur...
