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作者：Levi, Retsef; Perakis, Georgia; Romero, Gonzalo
作者单位：Massachusetts Institute of Technology (MIT); University of Toronto
摘要：We study a subsidies and taxes allocation problem with endogenous market response subject to a budget constraint. The central planner's objective is to maximize the consumption of a good, and she allocates per-unit copayments and taxes to its producers. We show that the optimal policy taxes the more efficient firms and allocates larger copayments to less efficient firms, making it impractical. Therefore, we consider the simple and frequently implemented policy that allocates the same copayment...
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作者：Kunnumkal, Sumit; Martinez-de-Albeniz, Victor
作者单位：Queens University - Canada; University of Navarra; IESE Business School
摘要：Assortment planning under a logit demand model is a difficult problem when there are product-specific fixed costs. We develop a new continuous relaxation of the problem that is based on the parametrization of the problem on the total assortment attractiveness. This relaxation provides an upper bound on the optimal expected profit. We show that the upper bound can be computed efficiently and allows us to generate feasible solutions with attractive performance guarantees. We analytically prove t...
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作者：Song, Eunhye; Nelson, Barry L.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Northwestern University
摘要：When input distributions to a simulation model are estimated from real-world data, they naturally have estimation error causing input uncertainty in the simulation output. If an optimization via simulation (OvS) method is applied that treats the input distributions as correct, then there is a risk of making a suboptimal decision for the real world, which we call input model risk. This paper addresses a discrete OvS (DOvS) problem of selecting the real-world optimal from among a finite number o...
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作者：Ata, Baris; Lee, Deishin; Sonmez, Erkut
作者单位：University of Chicago; Western University (University of Western Ontario); University of Nebraska System; University of Nebraska Lincoln
摘要：Gleaning programs organize volunteer gleaners to harvest a variety of leftover crops that are donated by farmers for the purpose of feeding food-insecure individuals. Thus, the gleaning process simultaneously reduces food waste and food insecurity. However, the operationalization of this process is challenging because gleaning relies on two uncertain sources of input: the food and labor supplies. The purpose of this paper is to help gleaning organizations increase the (value-weighted) volume o...
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作者：Zhang, Gongqiu; Li, Lingfei
作者单位：The Chinese University of Hong Kong, Shenzhen; Chinese University of Hong Kong
摘要：Continuous time Markov chain (CTMC) approximation is an intuitive and powerful method for pricing options in general Markovian models. This paper analyzes how grid design affects the convergence behavior of barrier and European options in general diffusion models. Using the spectral method, we obtain sharp estimates for the convergence rate of option price for nonuniform grids. We propose to calculate an option's delta and gamma by taking central difference of option prices on the grid. For th...
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作者：Chen, Xi; Ma, Tengyu; Zhang, Jiawei; Zhou, Yuan
作者单位：New York University; Facebook Inc; New York University; New York University; NYU Shanghai; Indiana University System; Indiana University Bloomington; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Process flexibility is widely adopted as an effective strategy for responding to uncertain demand. Many algorithms for constructing sparse flexibility designs with good theoretical guarantees have been developed for balanced and symmetrical production systems. These systems assume that the number of plants equals the number of products, that supplies have the same capacity, and that demands are independently and identically distributed. In this paper we relax these assumptions and consider a g...
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作者：Bimpikis, Kostas; Ehsani, Shayan; Mostagir, Mohamed
作者单位：Stanford University; Stanford University; University of Michigan System; University of Michigan
摘要：Participants race toward completing an innovation project and learn about its feasibility from their own efforts and their competitors' gradual progress. Information about the status of competition can alleviate some of the uncertainty inherent in the contest, but it can also adversely affect effort provision from the laggards. This paper explores the problem of designing the award structure of a contest and its information disclosure policy in a dynamic framework and provides a number of guid...
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作者：Luo, Wei; Shang, Kevin H.
作者单位：University of Navarra; IESE Business School; Duke University
摘要：This paper considers a firm that periodically orders inventory to satisfy demand in a finite horizon. The firm operates under two-level trade credit-that is, it offers trade credit to its customer while receiving one from its supplier. In addition to standard inventory-related costs, the firm also incurs periodic cash-related costs, which include a deficit penalty cost due to cash shortage and an interest gain (negative cost) due to excess cash after inventory payments. The objective is to obt...
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作者：Kruse, Thomas; Schneider, Judith C.; Schweizer, Nikolaus
作者单位：University of Duisburg Essen; University of Munster; Tilburg University
摘要：In the presence of model risk, it is well established to replace classical expected values with worst-case expectations over all models within a fixed radius from a given reference model. This is the robustness approach. For the class of F-divergences, we provide a careful assessment of how the interplay between reference model and divergence measure shapes the contents of uncertainty sets. We show that the classical divergences, relative entropy and polynomial divergences, are inadequate for ...
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作者：Dan, Teodora; Marcotte, Patrice
作者单位：Universite de Montreal
摘要：In a competitive environment, we consider the problem faced by a service firm that makes decisions with respect to both the location and service levels of its facilities, taking into account that users patronize the facility that maximizes their individual utility, expressed as the sum of travel time, queueing delay, and a random term. This situation can be modelled as a bilevel program that involves discrete and continuous variables as well as linear and nonlinear (convex and nonconvex) funct...
