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作者：Aravena, Ignacio; Lete, Quentin; Papavasiliou, Anthony; Smeers, Yves
作者单位：United States Department of Energy (DOE); Lawrence Livermore National Laboratory; Universite Catholique Louvain
摘要：We propose a novel framework for modeling zonal electricity markets, based on projecting the constraints of the nodal network onto the space of the zonal aggregation of the network. The framework avoids circular definitions and discretionary parameters, which are recurrent in the implementation and study of zonal markets. Using this framework, we model and analyze two zonal market designs currently present in Europe: flow-based market coupling (FBMC) and available-transfer-capacity market coup...
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作者：Ahn, Hyun-Soo; Wang, Derek D.; Wu, Owen Q.
作者单位：University of Michigan System; University of Michigan; Capital University of Economics & Business; McGill University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We extend the classical asset-selling problem to include debt repayment obligation, selling capacity constraint, and Markov price evolution. Specifically, we consider the problem of selling a divisible asset that is acquired through debt financing. The amount of asset that can be sold per period may be limited by physical constraints. The seller uses part of the sales revenue to repay the debt. If unable to pay off the debt, the seller must go bankrupt and liquidate the remaining asset. Our an...
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作者：Wei, Lai; Jasin, Stefanus; Xin, Linwei
作者单位：Boston College; University of Michigan System; University of Michigan; University of Chicago
摘要：Service-level constraint is often used as a metric to directly control the quality of service (e.g., managing the probability of stockout) in practice. Many inventory problems with service-level constraints are often difficult to solve and are typically approximated by deterministic formulations. This raises an important question regarding the quality of such an approach. To shed light on this question, in this paper, we consider two simplified yet fundamental inventory models (with backorder ...
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作者：Aflaki, Arian; Swinney, Robert
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Duke University
摘要：We study the value of inventory integration (or pooling) for a firm selling a seasonal good over two periods: in the first period the firm charges a high price, and in the second period the firm charges a low price to clear remaining inventory. Consumers are rational and decide when to visit the firm based on the price of the product and its anticipated availability. We show that integration-which combines inventory from distinct selling channels or geographic regions, for example, online and ...
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作者：Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, Janos; Schmedders, Karl
作者单位：University of Zurich; International Institute for Management Development (IMD)
摘要：Replicating portfolios have emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper describes the replicating portfolio (RP) model used to approximate life insurance liabilities in a large global insurance company. We describe the challenges presented by the latest solvency regimes in Europe and how the RP model enables this company to comply with the Swiss Solvency Test. The model minimizes the L-1 error between the discounted ...
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作者：Nam Ho-Nguyen; Kilinc-Karzan, Fatma
作者单位：University of Sydney; Carnegie Mellon University
摘要：We study nonparametric estimation of choice models, which was introduced to alleviate unreasonable assumptions in traditional parametric models and is prevalent in several application areas. Existing literature focuses only on the static observational setting where all of the observations are given up front and lacks algorithms that provide explicit convergence rate guarantees or an a priori analysis for the model accuracy versus sparsity trade-off on the actual estimated model returned. As op...
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作者：Ding, Yichuan; McCormick, S. Thomas; Nagarajan, Mahesh
作者单位：McGill University; University of British Columbia
摘要：We consider a one-sided bipartite matching queueing system (OBMQ) with customers and resources of multiple types, where different customer-resource combinations can generate different rewards. Each resource is allocated on arrival to the customer with the highest score (or index), which is the sum of the customer's waiting score and matching score, so we call it an M+W index. We assume that the waiting score is an increasing function of a customer's waiting time and that the matching score is ...
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作者：Khaleghei, Akram; Kim, Michael Jong
作者单位：University of Toronto; University of British Columbia
摘要：We formulate a maintenance control model as an optimal stopping problem under partial observations. The key challenge in our formulation is that the underlying state process is not restricted to be Markovian but rather is allowed to follow a semi-Markov process, which is more realistic in practice. Consequently, the stopping problem is not representable as a partially observable Markov decision process (POMDP) with finite state space, a commonly adopted modeling framework in the maintenance op...
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作者：Bertsimas, Dimitris; Ng, Yee Sian; Yan, Julia
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Mass transit remains the most efficient way to service a densely packed commuter population. However, reliability issues and increasing competition in the transportation space have led to declining ridership across the United States, and transit agencies must also operate under tight budget constraints. Recent attempts at using bus network redesign to improve ridership have attracted attention from various transit authorities. However, the analysis seems to rely on ad hoc methods, for example,...
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作者：Abdallah, Tarek; Asadpour, Arash; Reed, Josh
作者单位：Northwestern University; City University of New York (CUNY) System; Baruch College (CUNY); New York University
摘要：Bundle-size pricing (BSP) is a multidimensional selling mechanism where the firm prices the size of the bundle rather than the different possible combinations of bundles. In BSP, the firm offers the customer a menu of different sizes and prices. The customer then chooses the size that maximizes her surplus and customizes her bundle given her chosen size. Although BSP is commonly used across several industries, little is known about the optimal BSP policy in terms of sizes and prices, along wit...
