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作者：Bertsimas, Dimitris; Mundru, Nishanth
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We propose a novel, optimization-based method that takes into account the objective and problem structure for reducing the number of scenarios, m, needed for solving two-stage stochastic optimization problems. We develop a corresponding convex optimization-based algorithm and show that, as the number of scenarios increase, the proposed method recovers the SAA solution. We report computational results with both synthetic and real-world data sets that show that the proposed method has significan...
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作者：Li, Wenhao; Sun, Zhankun; Hong, L. Jeff
作者单位：City University of Hong Kong; Fudan University
摘要：Upon arrival at emergency departments (EDs), patients are classified into different triage levels indicating their urgency. Using data from a large hospital in Canada, we find that, within the same triage level, the average waiting time (time from triage to initial assessment by a physician) of patients who are discharged is shorter than that of patients who are admitted for middle- and low-acuity patients, suggesting that the order in which patients are served deviates from first-come, first-...
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作者：Cordera, Felipe; Moreno, Rodrigo; Ordonez, Fernando
作者单位：Universidad de Chile; Massachusetts Institute of Technology (MIT)
摘要：The extensive integration of renewable generation in electricity systems is significantly increasing the variability and correlation in power availability and the need for energy storage capacity. This increased uncertainty and storage capacity should be considered in operational decisions such as the short-term unit commitment (UC) problem. In this work, we formulate a day-ahead UC problem with energy storage, considering multistage correlated uncertainty on renewables' power availability. We...
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作者：Wang, Liao; Yao, David D.
作者单位：University of Hong Kong; Columbia University
摘要：A central problem in planning production capacity is how to effectively manage demand risk. We develop a model that integrates capacity planning and risk hedging decisions under a popular risk measure, conditional value at risk (CVaR). The CVaR objective generalizes the usual risk-neutral objective (such as the expected payoff) and allows for explicit modeling of the degree of aversion to downside risk (associated with low demand). The starting point of our model is to incorporate the impact o...
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作者：Baldacci, Bastien; Manziuk, Iuliia; Mastrolia, Thibaut; Rosenbaum, Mathieu
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; University of California System; University of California Berkeley
摘要：We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fee policy to attract transactions on its venues. We first solve the stochastic control problem of the market maker without the intervention of the exchange. Then, we derive the equations defining the optimal contract to be set between the market maker and the exchange. This contract depends on the trading flows generated by the market ...
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作者：Ashlagi, Itai; Daskalakis, Constantinos; Haghpanah, Nima
作者单位：Stanford University; Massachusetts Institute of Technology (MIT); Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study optimal mechanisms for selling multiple products to a buyer who learns her values for those products sequentially. A mechanism may use static prices or adjust them over time, and it may sell the products separately or as bundles. We study mechanisms that provide the buyer a nonnegative ex post utility. We show that there exists an optimal mechanism that determines the allocation of each product as soon as the buyer learns her value for that product. This observation allows us to solve...
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作者：Lamas-Fernandez, Carlos; Bennell, Julia A.; Martinez-Sykora, Antonio
作者单位：Solent University; University of Southampton; University of Leeds
摘要：Research on the three-dimensional (3D) packing problem has largely focused on packing boxes for the transportation of goods. As a result, there has been little focus on packing irregular shapes in the operational research literature. New technologies have raised the practical importance of 3D irregular packing problems and the need for efficient solutions. In this work, we address the variant of the problem where the aim is to place a set of 3D irregular items in a container, while minimizing ...
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作者：Baldick, Ross; Chen, Yonghong; Huang, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：We consider a storage device, such as a pumped storage hydroelectric generator, that has a state of charge together with mutually exclusive and disjoint charging and generating modes. We develop valid inequalities for a storage model that uses binary variables to represent the charging and generating modes. To investigate the model, we consider two contexts, stand-alone and large-scale. The stand-alone context involves the hydroelectric generator purchasing or selling electricity based on know...
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作者：Musalem, Andres; Olivares, Marcelo; Yung, Daniel
作者单位：Universidad de Chile
摘要：In many service industries, the speed of service and support by experienced employees are two major drivers of service quality. When demand for a service is variable and the staffing requirements cannot be adjusted quickly, choosing capacity levels requires making a tradeoff between service speed and operating costs, both of which depend on worker utilization. However, recent business models have enabled service systems to access a large pool of employees with flexible working hours that are c...
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作者：Cui, Zheng; Long, Daniel Zhuoyu; Qi, Jin; Zhang, Lianmin
作者单位：Zhejiang University; Chinese University of Hong Kong; Hong Kong University of Science & Technology; Nanjing University; Shenzhen Research Institute of Big Data
摘要：We study an uncertain inventory routing problem with a finite horizon. The supplier acts as a central planner who determines the replenishment quantities and also, the delivery times and routes to all retailers. We allow ambiguity in the probability distribution of each retailer's uncertain demand. Adopting a service-level viewpoint, we minimize the risk of uncertain inventory levels violating a prespecified acceptable range. We quantify that risk using a novel decision criterion, the service ...
