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作者：Wang, Zhengchao; Peura, Heikki; Wiesemann, Wolfram
作者单位：Imperial College London; Aalto University
摘要：When a firm selects an assortment of products to offer to customers, it uses a choice model to anticipate their probability of purchasing each product. In practice, the estimation of these models is subject to statistical errors, which may lead to significantly suboptimal assortment decisions. Recent work has addressed this issue using robust optimization, where the true parameter values are assumed unknown and the firm chooses an assortment that maximizes its worst -case expected revenues ove...
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作者：Feng, Yiding; Niazadeh, Rad; Saberi, Amin
作者单位：University of Chicago; Stanford University
摘要：Motivated by the applications of rental services in e-commerce, we consider revenue maximization in online assortment of reusable resources for a stream of arriving consumers with different types. We design competitive online algorithms with respect to the optimum online policy in the Bayesian setting in which types are drawn independently from known heterogeneous distributions over time. In the regime where the minimum of initial inventories cmin is large, our main result is a near-optimal 1....
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作者：Guo, Shaoyan; Xu, Huifu; Zhang, Sainan
作者单位：Dalian University of Technology; Chinese University of Hong Kong
摘要：Utility preference robust optimization (PRO) models have recently been proposed to deal with decision-making problems where the decision-maker's true utility function is unknown and the optimal decision is based on the worst-case utility function in an ambiguity set of utility functions. In this paper, we consider the case where the ambiguity set is constructed using some moment-type conditions. We propose piecewise linear approximation of the utility functions in the ambiguity set. The approx...
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作者：Han, Jinhui; Li, Xiaolong; Sethi, Suresh P.; Siu, Chi Chung; Yam, Sheung Chi Phillip
作者单位：Peking University; University of Hong Kong; University of Texas System; University of Texas Dallas; Hang Seng University of Hong Kong; Chinese University of Hong Kong
摘要：We consider continuous -review, single -product inventory systems with a constant replenishment rate, Levy demand, general inventory holding cost, and general lostsales penalty. The Levy demand encompasses various demand dynamics used in the inventory literature. We obtain optimal replenishment rates that minimize the timeaverage cost and expected discounted costs. We can solve this problem explicitly for the optimal replenishment rate by utilizing the renewal theorem for the time -average cos...
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作者：Sutter, Tobias; Van Parys, Bart P. G.; Kuhn, Daniel
作者单位：University of Konstanz; Massachusetts Institute of Technology (MIT); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We propose a statistically optimal approach to construct data-driven decisions for stochastic optimization problems. Fundamentally, a data-driven decision is simply a function that maps the available training data to a feasible action. It can always be expressed as the minimizer of a surrogate optimization model constructed from the data. The quality of a data-driven decision is measured by its out-of-sample risk. An additional quality measure is its out-of-sample disappointment, which we defi...
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作者：van der Laan, Niels; Romeijnders, Ward
作者单位：University of Groningen
摘要：We propose a new solution method for two-stage mixed-integer recourse models. In contrast to existing approaches, we can handle general mixed-integer variables in both stages. Our solution method is a Benders' decomposition, in which we iteratively construct tighter approximations of the expected second stage cost function using a new family of optimality cuts. We derive these optimality cuts by parametrically solving extended formulations of the second stage problems using deterministic mixed...
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作者：Yan, Xiaoyue; Chen, Li; Ding, Xiaobo
作者单位：University of Oregon; Cornell University
摘要：Payables finance, also known as reverse factoring or supply chain finance, is a form of trade finance arrangement that provides a supplier with the option to receive a buyer's payables early while allowing the buyer to extend its payment due date. The recent adoption of the blockchain technology has the potential to make payables finance more efficient and secure. In this paper, we study the supplier's optimal cash policy under such a frictionless payables finance arrangement. Our work extends...
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作者：Feinstein, Zachary; Rudloff, Birgit
作者单位：Stevens Institute of Technology; Vienna University of Economics & Business
摘要：Nash equilibria and Pareto optimality are two distinct concepts when dealing with multiple criteria. It is well known that the two concepts do not coincide. However, this work, we show that it is possible to characterize the set of all Nash equilibria for any noncooperative game as the Pareto-optimal solutions of a certain vector optimization problem. To accomplish this task, we increase the dimensionality of the objective function and formulate a nonconvex ordering cone under which Nash equil...
