-
作者：Reiman, Martin I.; Wang, Qiong
作者单位：Alcatel-Lucent
摘要：We consider a canonical revenue management problem in a network setting where the goal is to find a customer admission policy to maximize the total expected revenue over a fixed finite horizon. There is a set of resources, each of which has a fixed capacity. There are several customer classes, each with an associated arrival process, price, and resource consumption vector. If a customer is accepted, it effectively removes the resources that it consumes from the system. The exact solution canno...
-
作者：Carmona, Rene; Dayanik, Savas
作者单位：Princeton University; Princeton University
摘要：Motivated by the analysis of financial instruments with multiple exercise rights of American type and mean reverting underlyers, we formulate and solve the optimal multiple-stopping problem for a general linear regular diffusion process and a general reward function. Instead of relying on specific properties of geometric Brownian motion and call and put option payoffs as in most of the existing literature, we use general theory of optimal stopping for diffusions, and we illustrate the resultin...
-
作者：Simsek, Alp; Ozdaglar, Asuman; Acemoglu, Daron
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We provide an index formula for solutions of variational inequality problems defined by a continuously differentiable function F over a convex set At represented by a finite number of inequality constraints. Our index formula can be applied when the solutions are nonsingular and possibly degenerate, as long as they also satisfy the injective normal map (INM) property, which is implied by strong stability. We show that when the INM property holds, the degeneracy in a solution can be removed by ...
-
作者：Levi, Retsef; Lodi, Andrea; Sviridenko, Maxim
作者单位：Massachusetts Institute of Technology (MIT); University of Bologna; International Business Machines (IBM); IBM USA
摘要：We study the classical capacitated multi-item lot-sizing problem with hard capacities. There are N items, each of which has a specified sequence of demands over a finite planning horizon of T discrete periods; the demands are known in advance but can vary from period to period. All demands must be satisfied on time. Each order incurs a time-dependent fixed ordering cost regardless of the combination of items or the number of units ordered, but the total number of units ordered cannot exceed a ...
-
作者：Helmes, Kurt; Roehl, Stefan
作者单位：Humboldt University of Berlin
摘要：We present a formula for the corner points of the multidimensional Hausdorff polytopes and show how this result can be used to improve linear programming models for computing, e.g., moments of exit time distributions of diffusion processes. Specifically, we compute the mean exit time of two-dimensional Brownian motion from the unit square, as well as higher moments of the exit time of time-space Brownian motion, i.e., the two-dimensional process composed of a one-dimensional Wiener process and...
-
作者：Levi, Retsef; Janakiraman, Ganesh; Nagarajan, Mahesh
作者单位：Massachusetts Institute of Technology (MIT); New York University; University of British Columbia
摘要：In this paper, we describe the first computationally efficient policies for stochastic inventory models with lost sales and replenishment lead times that admit worst-case performance guarantees. In particular, we introduce dual-balancing policies for lost-sales models that are conceptually similar to dual-balancing policies recently introduced for a broad class of inventory models in which demand is backlogged rather than lost. That is, in each period, we balance two opposing costs: the expect...
-
作者：Dayanik, Savas; Goulding, Christian; Poor, H. Vincent
作者单位：Princeton University; Princeton University; Princeton University
摘要：Sequential change diagnosis is the joint problem of detection and identification of a sudden and unobservable change in the distribution of a random sequence. In this problem, the common probability law of a sequence of i.i.d. random variables suddenly changes at some disorder time to one of finitely many alternatives. This disorder time marks the start of a new regime, whose fingerprint is the new law of observations. Both the disorder time and the identity of the new regime are unknown and u...
-
作者：Mirman, Leonard J.; Ruble, Richard
作者单位：University of Virginia; emlyon business school
摘要：This paper explores and explains the application of the lattice theoretic approach to classic comparative statics in consumer theory. Through examples of preferences that are not quasiconcave, or not differentiable, or not continuous, the approach is shown to characterize income effects more powerfully than the standard approach. The underlying partial order is key to applying the method. Therefore, several adapted partial orders are introduced and discussed.
-
作者：Sun, Defeng; Sun, Jie
作者单位：National University of Singapore; National University of Singapore
摘要：We study analyticity, differentiability, and semismoothness of Lowner's operator and spectral functions under the framework of Euclidean Jordan algebras. In particular, we show that many optimization-related classical results in the symmetric matrix space can be generalized within this framework. For example, the metric projection operator over any symmetric cone defined in a Euclidean Jordan algebra is shown to be strongly semismooth. The research also raises several open questions, whose ans...
-
作者：Gromoll, H. Christian; Robert, Philippe; Zwart, Bert
作者单位：University of Virginia; University System of Georgia; Georgia Institute of Technology
摘要：We investigate a processor-sharing queue with renewal arrivals and generally distributed service times. Impatient jobs may abandon the queue or renege before completing service. The random time representing a job's patience has a general distribution and may be dependent on its initial service time requirement. A scaling procedure that gives rise to a fluid model with nontrivial yet tractable steady state behavior is presented. This fluid model captures many essential features of the underlyin...
