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作者：Liu, Yan; Sun, Yacheng; Zhang, Dan
作者单位：Hong Kong Polytechnic University; Tsinghua University; University of Colorado System; University of Colorado Boulder
摘要：We study the effects of redemption hurdles on reward program members' decision making and firm profitability. We focus on the popular Buy X, Get One Free (BXGO) programs, which set a redemption threshold (X) and possibly, an expiration term for the reward. In our model, forward-looking consumers interact with a monopolistic firm and strategically make purchase and redemption decisions over an infinite time horizon. Our analysis leads to the following results. First, a consumer's purchase utili...
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作者：Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
作者单位：Chuo University; University of British Columbia; National University of Singapore; National University of Singapore; National University of Singapore
摘要：We study the out-of-sample properties of robust empirical optimization problems with smooth phi-divergence penalties and smooth concave objective functions, and we develop a theory for data-driven calibration of the nonnegative robustness parameter delta that controls the size of the deviations from the nominal model. Building on the intuition that robust optimization reduces the sensitivity of the expected reward to errors in the model by controlling the spread of the reward distribution, we ...
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作者：Ma, Will; Simchi-Levi, David; Teo, Chung-Piaw
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); National University of Singapore
摘要：In this paper, we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, the tight competitive ratio for this problem has been established by Ball and Queyranne through booking limit policies, which raise the acceptance threshold as the remaining inventory dwindles. However, when the item is sold through dynamic pricing instead, there is the additional challenge...
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作者：Subramanyam, Anirudh; Mufalli, Frank; Lainez-Aguirre, Jose M.; Pinto, Jose M.; Gounaris, Chrysanthos E.
作者单位：Carnegie Mellon University; Carnegie Mellon University; Linde plc; Linde US; Linde plc; Linde US
摘要：In this paper, we study multiperiod vehicle routing problems where the aim is to determine a minimum cost visit schedule and associated routing plan for each period using capacity-constrained vehicles. In our setting, we allow for customer service requests that are received dynamically over the planning horizon. In order to guarantee the generation of routing plans that can flexibly accommodate potential service requests that have not yet been placed, we model future potential service requests...
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作者：Lam, Henry; Qian, Huajie
作者单位：Columbia University
摘要：In stochastic simulation, input uncertainty refers to the output variability arising from the statistical noise in specifying the input models. This uncertainty can be measured by a variance contribution in the output, which, in the nonparametric setting, is commonly estimated via the bootstrap. However, due to the convolution of the simulation noise and the input noise, the bootstrap consists of a two-layer sampling and typically requires substantial simulation effort. This paper investigates...
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作者：Ferris, Michael; Philpott, Andy
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; University of Auckland
摘要：We study a competitive partial equilibrium in markets where risk-averse agents solve multistage stochastic optimization problems formulated in scenario trees. The agents trade a commodity that is produced from an uncertain supply of resources. Both resources and the commodity can be stored for later consumption. Several examples of a multistage risked equilibrium are outlined, including aspects of battery and hydroelectric storage in electricity markets, distributed ownership of competing tech...
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作者：Hwang, Dawsen; Jaillet, Patrick; Manshadi, Vahideh
作者单位：Alphabet Inc.; Google Incorporated; Massachusetts Institute of Technology (MIT); Yale University
摘要：For online resource allocation problems, we propose a new demand arrival model where the sequence of arrivals contains both an adversarial component and a stochastic one. Our model requires no demand forecasting; however, because of the presence of the stochastic component, we can partially predict future demand as the sequence of arrivals unfolds. Under the proposed model, we study the problem of the online allocation of a single resource to two types of customers and design online algorithms...
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作者：Abdellaoui, Mohammed; Bleichrodt, Han; Kemel, Emmanuel; l'Haridon, Olivier
作者单位：Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Australian National University; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Universite de Rennes
摘要：This paper presents a simple method to measure the beliefs of a decision-maker with nonneutral ambiguity attitudes. Our method requires three simple choices, is incentive compatible, and allows for risk aversion and deviations from expected utility, including probability weighting and ambiguity aversion. An experiment using two natural sources of uncertainty (the temperature in Rotterdam and in New York City) shows that the model's estimated beliefs are well calibrated, sensitive to the source...
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作者：Adsul, Bharat; Garg, Jugal; Mehta, Ruta; Sohoni, Milind; von Stengel, Bernhard
作者单位：Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Bombay; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; University of London; London School Economics & Political Science
摘要：The rank of a bimatrix game is the matrix rank of the sum of the two payoff matrices. This paper comprehensively analyzes games of rank one and shows the following: (1) For a game of rank r, the set of its Nash equilibria is the intersection of a generically one-dimensional set of equilibria of parameterized games of rank r - 1 with a hyperplane. (2) One equilibrium of a rank-1 game can be found in polynomial time. (3) All equilibria of a rank-1 game can be found by following a piecewise linea...
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作者：Chen, Xi; He, Simai; Jiang, Bo; Ryan, Christopher Thomas; Zhang, Teng
作者单位：New York University; Shanghai University of Finance & Economics; University of British Columbia; Stanford University
摘要：The discrete moment problem is a foundational problem in distribution-free robust optimization, where the goal is to find a worst-case distribution that satisfies a given set of moments. This paper studies the discrete moment problems with additional shape constraints that guarantee the worst-case distribution is either log-concave (LC), has an increasing failure rate (IFR), or increasing generalized failure rate (IGFR). These classes of shape constraints have not previously been studied in th...
