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作者：Navidi, Fatemeh; Kambadur, Prabhanjan; Nagarajan, Viswanath
作者单位：University of Michigan System; University of Michigan; Bloomberg L.P.
摘要：We study a general stochastic ranking problem in which an algorithm needs to adaptively select a sequence of elements so as to cover a random scenario (drawn from a known distribution) at minimum expected cost. The coverage of each scenario is captured by an individual submodular function, in which the scenario is said to be covered when its function value goes above a given threshold. We obtain a logarithmic factor approximation algorithm for this adaptive ranking problem, which is the best p...
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作者：Roy, Debjit; De Koster, Rene; Bekker, Rene
作者单位：Indian Institute of Management (IIM System); Indian Institute of Management Ahmedabad; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Vrije Universiteit Amsterdam
摘要：The design of container terminal operations is complex because multiple factors affect operational performance. These factors include numerous choices for handling technology, terminal topology, and design parameters and stochastic interactions between the quayside, stackside, and vehicle transport processes. In this research, we propose new integrated queuing network models for rapid design evaluation of container terminals with automated lift vehicles and automated guided vehicles. These mod...
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作者：Zhang, Yang; Chen, Ying-Ju
作者单位：National University of Singapore; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：We study the optimal nonlinear pricing of products and services in social networks, in which customers are strategic and their consumption exhibits local externality. Customers know about their local network characteristics (which are positively affiliated across neighbors), but the selling firm only has knowledge of the global network. We develop a solution approach based on calculus of variations and positive neighbor affiliation to tackle this nonstandard principal-agent problem faced by th...
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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：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：Lei, Yanzhe (Murray); Jasin, Stefanus
作者单位：Queens University - Canada; University of Michigan System; University of Michigan
摘要：We consider a dynamic pricing problem in a system with reusable resources. Customers arrive randomly over time according to a specified nonstationary rate, and each customer requests a service that uses a combination of different types of resources for a deterministic duration of time. The resources are reusable in the sense that they can be immediately used to serve a new customer on the completion of the previous service. Our objective is to construct a dynamic pricing control that maximizes...
