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作者：He, Xue Dong; Peng, Xianhua
作者单位：Chinese University of Hong Kong; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
摘要：The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be surplus invariant; i.e., not to depend on the surplus of firms' shareholders, because the test means to protect firms' liability holders. We prove that any surplus-invariant, law-invariant, and conic acceptance set must be the set of capital positions whose value at risk at a given level is less than zero. The result st...
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作者：Hochbaum, Dorit S.; Liu, Sheng
作者单位：University of California System; University of California Berkeley
摘要：Accurate yield prediction in integrated circuit manufacturing enables accurate estimation of production cost and early detection of processing problems. It is known that defects tend to be clustered and a chip is likely to be defective if its neighbors are defective. This neighborhood effect is not well captured in traditional yield modeling approaches. We propose a new yield prediction model, called adjacency-clustering which addresses, for the first time, the neighborhood effect, and deliver...
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作者：Ferreira, Kris Johnson; Simchi-Levi, David; Wang, He
作者单位：Harvard University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology
摘要：We consider a price-based network revenue management problem in which a retailer aims to maximize revenue from multiple products with limited inventory over a finite selling season. As is common in practice, we assume the demand function contains unknown parameters that must be learned from sales data. In the presence of these unknown demand parameters, the retailer faces a trade-off commonly referred to as the exploration-exploitation trade-off. Toward the beginning of the selling season, the...
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作者：Zhang, Boyu; Cao, Zhigang; Qin, Cheng-Zhong; Yang, Xiaoguang
作者单位：Beijing Normal University; Beijing Jiaotong University; University of California System; University of California Santa Barbara; Chinese Academy of Sciences; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS
摘要：We analyze the evolution of fashion based on a network game model. Each agent in this model is a conformist or a rebel. A conformist prefers to take the action most common among her neighboring agents, whereas a rebel prefers the opposite. When there is only one type of agents, the model possesses an exact potential function, implying that fashion cycles are unlikely to emerge in a homogeneous population. The homophily index, a measure of segregation in networks with multiple types of nodes, i...
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作者：Kress, Moshe; Lin, Kyle Y.; MacKay, Niall J.
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School; University of York - UK
摘要：We extend classical force-on-force combat models to study the attrition dynamics of three-way and multilateral war. We introduce a new multilateral combat model-the multiduel-which generalizes the Lanchester models, and we solve it under an objective function that values one's own surviving force minus that of one's enemies. The outcome is stark: either one side is strong enough to destroy all the others combined, or all sides are locked in a stalemate, which results in collective mutual annih...
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作者：Schlapp, Jochen; Fleischmann, Moritz
作者单位：University of Mannheim
摘要：The presence of customer substitution poses substantial challenges to a firm's inventory management, particularly so when the firm has to manage a multiproduct portfolio with capacity restrictions. In this paper, we derive the optimal inventory policy for a capacity-constrained firm selling multiple partially substitutable products over a finite season in a market with stockout-based customer substitution. We also establish the sensitivity of the optimal policy with respect to changes in capac...
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作者：Ahn, Hyun-Soo; Jasin, Stefanus; Kaminsky, Philip; Wang, Yang
作者单位：University of Michigan System; University of Michigan; University of California System; University of California Berkeley
摘要：We consider a multiperiod planning problem faced by a biopharmaceutical firm that must coordinate the production and allocation of batches of intermediate products to end products for multiple markets. This is a challenging problem to solve optimally, so we derive a theoretical bound on the performance of a deterministic control (DC) in which all random variables are replaced by their expected values and the corresponding deterministic optimization problem is solved. This is a variant of an ap...
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作者：Martagan, Tugce; Krishnamurthy, Ananth; Leland, Peter A.; Maravelias, Christos T.
作者单位：Eindhoven University of Technology; University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：We investigate protein purification operations conducted by biomanufacturers and pharmaceutical companies as part of their research and development efforts. Purification of these proteins involves unique challenges such as balancing the yield and purity trade-offs, dealing with uncertainty in the starting material, and estimating the impact of several interlinked decisions. We develop a Markov decision model and partition the state space into decision zones that provide managerial insights to ...
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作者：Aouad, Ali; Farias, Vivek; Levi, Retsef; Segev, Danny
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Haifa
摘要：The main contribution of this paper is to provide best-possible approximability bounds for assortment planning under a general choice model, where customer choices are modeled through an arbitrary distribution over ranked lists of their preferred products, subsuming most random utility choice models of interest. From a technical perspective, we show how to relate this optimization problem to the computational task of detecting large independent sets in graphs, allowing us to argue that general...
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作者：Ryzhov, Ilya O.
作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
摘要：We propose a framework for targeting and selection (T&S), a new problem class in simulation optimization where the objective is to select a simulation alternative whose mean performance matches a prespecified target as closely as possible. T&S resembles the more well-known problem of ranking and selection but presents unexpected challenges: for example, a one-step look-ahead method may produce statistically inconsistent estimates of the values, even under very standard normality assumptions. W...
