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作者：Ma, Yuhang; Rusmevichientong, Paat; Sumida, Mika; Topaloglu, Huseyin
作者单位：University of Southern California
摘要：We provide an approximation algorithm for network revenue management problems. In our approximation algorithm, we construct an approximate policy using value function approximations that are expressed as linear combinations of basis functions. We use a backward recursion to compute the coefficients of the basis functions in the linear combinations. If each product uses at most L resources, then the total expected revenue obtained by our approximate policy is at least 1/(1 + L) of the optimal t...
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作者：Cai, Desmond; Agarwal, Anish; Wierman, Adam
作者单位：California Institute of Technology; California Institute of Technology; California Institute of Technology; California Institute of Technology
摘要：Motivated by electricity markets, this paper studies the impact of forward contracting in situations where firms have capacity constraints and heterogeneous production lead times. We consider a model with two types of firms-leaders and followers-that choose production at two different times. Followers choose productions in the second stage but can sell forward contracts in the first stage. Our main result is an explicit characterization of the equilibrium outcomes. Classic results on forward c...
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作者：Guasoni, Paolo; Mayerhofer, Eberhard
作者单位：Dublin City University; Boston University; University of Limerick
摘要：We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio of the overall portfolio: such payoffs form the unique solution to a system of integral equations, which reduces to a linear matrix equation under discrete representations of the underlying probabilities...
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作者：Saghafian, Soroush; Hopp, Wallace
作者单位：Harvard University; University of Michigan System; University of Michigan
摘要：Public reporting of medical treatment outcomes is being widely adopted by policymakers in an effort to increase quality transparency and improve alignment between patient choices and provider capabilities. We examine the soundness of this approach by studying the effects of quality transparency on patient choices, hospital investments, societal outcomes (e.g., patients' social welfare and inequality), and the healthcare market structure (e.g., medical or geographical specialization). Our resul...
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作者：Glynn, Peter W.; Fan, Lin; Fu, Michael C.; Hu, Jian-Qiang; Peng, Yijie
作者单位：Stanford University; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; Fudan University; Peking University
摘要：We provide a simple proof of the central limit theorem (CLT) for estimated functions at estimated points. Such estimators arise in a number of different simulationbased computational settings. We illustrate the methodology via applications to quantile estimation and related sensitivity analysis, as well as to computation of conditional valueat-risk.
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作者：Hazimeh, Hussein; Mazumder, Rahul
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：The L-0-regularized least squares problem (a.k.a. best subsets) is central to sparse statistical learning and has attracted significant attention across the wider statistics, machine learning, and optimization communities. Recent work has shown that modern mixed integer optimization (MIO) solvers can be used to address small to moderate instances of this problem. In spite of the usefulness of L-0-based estimators and generic MIO solvers, there is a steep computational price to pay when compare...
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作者：Cai, Ning; Zhang, Wei
作者单位：Hong Kong University of Science & Technology
摘要：For traditional perpetual American put options under regime-switching models, the risk-free interest rates are typically assumed to be positive, and optimal stopping usually can occur in any regime. However, this may not hold true when the risk-free interest rates are allowed to be equal to zero (the interest rate may drop to zero in reality, e.g., in certain periods in Japan); there may exist continuation regimes within which optimal stopping can never occur, that is, within which stopping is...
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作者：Hu, Ming; Wang, Zizhuo; Feng, Yinbo
作者单位：University of Toronto; University of Minnesota System; University of Minnesota Twin Cities; The Chinese University of Hong Kong, Shenzhen; Shanghai University of Finance & Economics
摘要：We study a two-period model in which a firm faces the problem of deciding whether to commit to sales volume disclosure under market size uncertainty when selling a network good to forward-looking customers who time their purchases. If the first-period sales volume is disclosed, the second-period customers will base their purchase decisions on this information. If the sales volume is not disclosed, all customers will make purchase decisions based on their estimate of market size. We identify tw...
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作者：Mansour, Yishay; Slivkins, Aleksandrs; Syrgkanis, Vasilis
作者单位：Tel Aviv University; Microsoft; Microsoft
摘要：As self-interested individuals (agents) make decisions over time, they utilize information revealed by other agents in the past and produce information that may help agents in the future. This phenomenon is common in a wide range of scenarios in the Internet economy, as well as in medical decisions. Each agent would like to exploit: select the best action given the current information, but would prefer the previous agents to explore: try out various alternatives to collect information. A socia...
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作者：Pedraza-Martinez, Alfonso J.; Hasija, Sameer; Van Wassenhove, Luk N.
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; INSEAD Business School; INSEAD Business School
摘要：We study incentive alignment for the coordination of humanitarian operations. Transportation is the second-largest overhead cost (after personnel) for international humanitarian organizations (IHOs). Yet, the management of IHO vehicle fleets faces obstacles to reach efficiency, due to a structural conflict between the incentives of an IHO's individual program (which prioritize prompt service and minimal program cost) and the IHO's central headquarters (which on top of the objective of the prog...
