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作者：Gauthier, Jean Bertrand; Desrosiers, Jacques; Luebbecke, Marco E.
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; RWTH Aachen University
摘要：We develop an algorithmic framework for linear programming guided by dual optimality considerations. The solution process moves from one feasible solution to the next according to an exchange mechanism that is defined by a direction and a resulting step size. Part of the direction is obtained via a pricing problem devised in primal and dual forms. From the dual perspective, one maximizes the minimum reduced cost that can be achieved from splitting the set of dual variables in two subsets: one ...
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作者：Mills, Alex F.; Argon, Nilay Tanik; Ziya, Serhan
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：In the aftermath of a disaster, emergency responders must transport a large number of patients to medical facilities, using limited transportation resources (such as ambulances). Decisions about where to send the patients are typically made in an ad hoc manner by responders on the scene. Using a Markov decision process formulation, we develop two heuristic policies that use limited information such as mean travel times and congestion levels to determine (a) how to allocate ambulances to patien...
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作者：Peng, Yijie; Fu, Michael C.; Hu, Jian-Qiang; Heidergott, Bernd
作者单位：Peking University; University System of Maryland; University of Maryland College Park; Fudan University; Vrije Universiteit Amsterdam
摘要：In this paper, we propose a new unbiased stochastic derivative estimator in a framework that can handle discontinuous sample performances with structural parameters. This work extends the three most popular unbiased stochastic derivative estimators: (1) infinitesimal perturbation analysis (IPA), (2) the likelihood ratio (LR) method, and (3) the weak derivative method, to a setting where they did not previously apply. Examples in probability constraints, control charts, and financial derivative...
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作者：Kiatsupaibul, Seksan; Smith, Robert L.; Zabinsky, Zelda B.
作者单位：Chulalongkorn University; University of Michigan System; University of Michigan; University of Washington; University of Washington Seattle
摘要：Optimizing the performance of complex systems modeled by stochastic computer simulations is a challenging task, partly because of the lack of structural properties (e.g., convexity). This challenge is magnified by the presence of random error whereby an adaptive algorithm searching for better designs can at times mistakenly accept an inferior design. In contrast to performing multiple simulations at a design point to estimate the performance of the design, we propose a framework for adaptive s...
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作者：Reindorp, Matthew; Tanrisever, Fehmi; Lange, Anne
作者单位：Drexel University; Eindhoven University of Technology; Ihsan Dogramaci Bilkent University; Technical University of Darmstadt
摘要：We study a supply chain where a retailer buys from a supplier who faces financial constraints. Informational problems about the supplier's demand prospects and production capabilities restrict her access to capital. By committing to a minimum purchase quantity, the retailer can mitigate these informational problems and expand the supplier's feasible production set. We assume a newsvendor model of operations and analyze the strategic interaction of the two parties as a sequential game. Key para...
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作者：Ke, Rongzhu; Ryan, Christopher Thomas
作者单位：Hong Kong Baptist University; University of Chicago
摘要：We develop a simple sufficient condition for an optimal contract of a moral hazard problem to be monotone in the output signal. Existing results on monotonicity require conditions on the output distribution (namely, the monotone likelihood ratio property (MLRP)) and additional conditions to guarantee that agent's decision is approachable via the first-order approach of replacing that problem with its first-order conditions. We know of no positive monotonicity results in the setting where the f...
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作者：Olivares-Nadal, Alba V.; DeMiguel, Victor
作者单位：Universidad Pablo de Olavide; University of London; London Business School
摘要：We prove that the portfolio problem with transaction costs is equivalent to three different problems designed to alleviate the impact of estimation error: a robust portfolio optimization problem, a regularized regression problem, and a Bayesian portfolio problem. Motivated by these results, we propose a data-driven approach to portfolio optimization that tackles transaction costs and estimation error simultaneously by treating the transaction costs as a regularization term to be calibrated. Ou...
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作者：Feldman, Jacob; Topaloglu, Huseyin
作者单位：Washington University (WUSTL)
摘要：We study capacitated assortment problems when customers choose under the multinomial logit model with nested consideration sets. In this choice model, there are multiple customer types, and a customer of a particular type is interested in purchasing only a particular subset of products. We use the term consideration set to refer to the subset of products that a customer of a particular type is interested in purchasing. The consideration sets of customers of different types are nested in the se...
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作者：Zhen, Jianzhe; den Hertog, Dick; Sim, Melvyn
作者单位：Tilburg University; National University of Singapore
摘要：We demonstrate how adjustable robust optimization (ARO) problems with fixed recourse can be cast as static robust optimization problems via Fourier-Motzkin elimination (FME). Through the lens of FME, we characterize the structures of the optimal decision rules for a broad class of ARO problems. A scheme based on a blending of classical FME and a simple linear programming technique that can efficiently remove redundant constraints is developed to reformulate ARO problems. This generic reformula...
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作者：Bo, Yang; Dawande, Milind; Janakiraman, Ganesh
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：In a recent paper, Johnson et al. (2014) [Johnson K, Simchi-Levi D, Sun P (2014) Analyzing scrip systems. Oper. Res. 62(3):524-534.] use an infinitely repeated game with discounting, among a set of homogeneous players, to model a scrip system. In each period, a randomly chosen player requests service; all the other players have a choice of whether or not to volunteer to provide service. Among the players who volunteer, the service provider is chosen using the minimum-scrip rule: a player with ...
