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作者：Das, Bikramjit; Dhara, Anulekha; Natarajan, Karthik
作者单位：Singapore University of Technology & Design
摘要：Since the seminal work of Scarf (A min-max solution of an inventory problem) in 1958 on the newsvendor problem with ambiguity in the demand distribution, there has been a growing interest in the study of the distributionally robust newsvendor problem. The model is criticized at times for being conservative because the worst-case distribution is discrete with a few support points. However, it is the order quantity prescribed by the model that is of practical relevance. Interestingly, the order ...
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作者：Gong, Xiting; Wang, Tong
作者单位：Chinese University of Hong Kong; Shanghai Jiao Tong University
摘要：In this paper, we establish two preservation results of additive convexity for a class of optimal transformation problems and a class of optimal disposal problems. For both classes of problems, there are multiple resources; our results show that if these resources have different priorities to be transformed/disposed under the optimal policy, then the additive convexity and bounded monotonicity of the objective function are preserved to the value function after optimization. A key observation i...
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作者：Maglaras, Costis; Moallemi, Ciamac C.; Zheng, Hua
作者单位：Columbia University; JP Morgan Chase & Company
摘要：In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books under a price-time priority rule and, in turn, can be modeled as multiclass first-in-first-out queueing systems. A market with multiple exchanges can be thought as a decentralized, parallel queueing system. Heterogeneous traders that submit limit orders select the exchange (i.e., the queue), in which to place their orders by trading off financial...
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作者：Rios, Ignacio; Larroucau, Tomas; Parra, Giorgiogiulio; Cominetti, Roberto
作者单位：University of Texas System; University of Texas Dallas; University of Pennsylvania; Universidad de Chile; Universidad Adolfo Ibanez
摘要：In this paper we present the design and implementation of a new system to solve the Chilean college admissions problem. We develop an algorithm that obtains all applicant/program pairs that can be part of a stable allocation when preferences are not strict and when all students tied in the last seat of a program (if any) must be allocated. We use this algorithm to identify which mechanism was used in the past to perform the allocation, and we propose a new method to incorporate the affirmative...
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作者：Kovacova, Gabriela; Rudloff, Birgit
作者单位：Vienna University of Economics & Business
摘要：Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in mathematical finance and is referred to as the dynamicMarkowitz problem (when the risk is measured by variance) or, more generally, the dynamic mean-risk problem. In most of the literature, the mean-risk problem is scalarized, and it is well known that this scalarized problem does not satisfy the (scalar) Bellman's principle. Thus, the clas...
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作者：Desir, Antoine; Goyal, Vineet; Jagabathula, Srikanth; Segev, Danny
作者单位：INSEAD Business School; Columbia University; New York University; Tel Aviv University
摘要：Assortment optimization is an important problem arising in many applications, including retailing and online advertising. The goal in such problems is to determine a revenue-/profit-maximizing subset of products to offer from a large universe of products when customers exhibit stochastic substitution behavior. We consider a mixture of Mallows model for demand, which can be viewed as a smoothed generalization of sparse, rank-based choice models, designed to overcome some of their key limitation...
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作者：Wang, Ruxian
作者单位：Johns Hopkins University
摘要：Market size, measured by the number of people who are interested in products from the same category, may be largely influenced by assortment planning and pricing decisions. This effect is referred to as market expansion. In this paper, I incorporate the market expansion effects into consumer choice models and investigate various operations problems. In particular, I take the widely used multinomial logit model as a showcase to examine the market expansion effects on assortment planning and pri...
