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作者：Simar, Leopold; Zelenyuk, Valentin
作者单位：Universite Catholique Louvain; University of Queensland; University of Queensland
摘要：Applied researchers in the field of efficiency and productivity analysis often need to estimate and make inference about aggregate efficiency, such as industry efficiency or aggregate efficiency of a group of distinct firms within an industry (e.g., public versus private firms, regulated versus unregulated firms, etc.). While there are approaches to obtain point estimates for such important measures, no asymptotic theory has been derived for it. This is the gap in the literature we fill with t...
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作者：Nadarajah, Selvaprabu; Secomandi, Nicola
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Carnegie Mellon University
摘要：We formulate the merchant trading of energy in a network of storage and transport assets as a Markov decision process with uncertain energy prices, generalizing known models. Because of the intractability of our model, we develop heuristics and both lower and dual (upper) bounds on the optimal policy value estimated within Monte Carlo simulation. We achieve tractability using linear optimization, extending near optimal approximate dynamic programming techniques for the case of a single storage...
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作者：Huang, Junfei; Gurvich, Itai
作者单位：Chinese University of Hong Kong
摘要：Central-limit (Brownian) approximations are widely used for the performance analysis and optimization of queueing networks because of their tractability relative to the original queueing models. The stationary distributions of the approximations are used as proxies for those of the queues. The convergence of suitably scaled and centered processes provides mathematical support for the use of these Brownian models. As with the central limit theorem, to establish convergence, one must impose assu...
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作者：Goh, Joel; Bayati, Mohsen; Zenios, Stefanos A.; Singh, Sundeep; Moore, David
作者单位：National University of Singapore; Harvard University; Stanford University; Stanford University; Stanford University
摘要：Cost-effectiveness studies of medical innovations often suffer from data inadequacy. When Markov chains are used as a modeling framework for such studies, this data inadequacy can manifest itself as imprecision in the elements of the transition matrix. In this paper, we study how to compute maximal and minimal values for the discounted value of the chain (with respect to a vector of state-wise costs or rewards) as these uncertain transition parameters jointly vary within a given uncertainty se...
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作者：Yang, Liu; Guo, Pengfei; Wang, Yulan
作者单位：Tsinghua University; Hong Kong Polytechnic University
摘要：We consider a service system in which customers are loss averse toward both price and delay attributes. That is, customers compare these two attributes with their rational expectations of outcomes, with losses being more painful than equal-sized gains are pleasant. We first study customers' equilibrium queueing strategies. We find that, unlike the traditional case in which loss aversion is not considered, there may exist three equilibrium strategies, one of which is preferred m the sense that ...
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作者：Noyan, Nilay; Rudolf, Gabor
作者单位：Sabanci University; Koc University
摘要：It is of crucial importance to develop risk-averse models for multicriteria decision making under uncertainty. A major stream of the related literature studies optimization problems that feature multivariate stochastic benchmarking constraints. These problems typically involve a univariate stochastic preference relation, often based on stochastic dominance or a coherent risk measure such as conditional value-at-risk, which is then extended to allow the comparison of random vectors by the use o...
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作者：Ata, Baris; Peng, Xiaoshan
作者单位：University of Chicago
摘要：This paper studies a multiclass queueing system with endogenous abandonments where congestion affects customers' abandonment behavior, and vice versa. Our model captures this interaction by developing two closely related models: an abandonment model and a queueing model. In the abandonment model, customers take the virtual waiting time distribution as given. Class k customers receive a reward r(k) from service and incur a cost c(k) per period of waiting. Customers are forward looking and make ...
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作者：Farahat, Amr; Lee, Joonkyum
作者单位：Washington University (WUSTL); Sogang University
摘要：We address the multiproduct newsvendor problem under a general specification of customer choice behavior. We develop a methodology that yields upper bounds on the optimal value as well as feasible inventory solutions. The methodology is based on an approximate Jordan decomposition of the state transition matrix. Two specializations of the methodology are presented: one leads to a decomposition by customer into a sequence of assortment optimization problems and the second leads to a decompositi...
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作者：Capponi, Agostino; Cheng, W. Allen
作者单位：Columbia University
摘要：We model the decision problem faced by a profit-maximizing clearinghouse, which sets fee and margin requirements for heterogeneous traders who may default. We capture the main trade-offs underpinning the clearinghouse's choices: higher fee and better default protection come at the cost of decreased market volume. We show that the equilibrium margin requirements are determined not only by price volatility but also by trader fundamentals and funding costs. Our results (i) explain why margins are...
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作者：Carlsson, John Gunnar; Behroozi, Mehdi; Mihic, Kresimir
作者单位：University of Southern California; Northeastern University; Oracle
摘要：Recent research on the robust and stochastic traveling salesman problem and the vehicle routing problem has used many different approaches for describing the region of ambiguity including taking convex combinations of observed demand vectors or imposing constraints on the moments of the spatial demand distribution. One approach that has been used outside the transportation sector is the use of statistical metrics that describe a distance function between two probability distributions. Motivate...
