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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：Lee, Joosung
作者单位：University of Edinburgh
摘要：We introduce a new noncooperative multilateral bargaining model for network-restricted environments in which players can bargain only with their neighbors. The main theorem characterizes a condition on network structures for efficient equilibria. If the underlying network is either complete or circular, an efficient stationary subgame perfect equilibrium exists for all discount factors-all the players always try to reach an agreement as soon as practicable, and hence no strategic delay occurs....
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作者：Emadi, Seyed Morteza; Swaminathan, Jayashankar M.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：Designing modern call centers requires an understanding of callers' patience and abandonment behavior. Using a Cox regression analysis, we show that callers' abandonment behavior may differ based on their contact history, and changes across their different contacts. We control for caller heterogeneity using a two-step grouped-fixed effect method. This analysis shows that differences in callers' abandonment behavior are not only driven by their heterogeneity but also by differences in their bel...
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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：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...
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作者：Liu, Lindong; Qi, Xiangtong; Xu, Zhou
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; Hong Kong University of Science & Technology; Hong Kong Polytechnic University
摘要：In this paper we propose a new instrument, a simultaneous penalization and subsidization, for stabilizing the grand coalition and enabling cooperation among all players of an unbalanced cooperative game. The basic idea is to charge a penalty z from players who leave the grand coalition, and at the same time provide a subsidy omega to players who stay in the grand coalition. To formalize this idea, we establish a penalty-subsidy function omega(z) based on a linear programming model, which allow...
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作者：Lobel, Ilan; Leme, Renato Paes; Vladua, Adrian
作者单位：New York University; Alphabet Inc.; Google Incorporated; Boston University
摘要：We consider a multidimensional search problem that is motivated by questions in contextual decision making, such as dynamic pricing and personalized medicine. Nature selects a state from a d-dimensional unit ball and then generates a sequence of d-dimensional directions. We are given access to the directions but not access to the state. After receiving a direction, we have to guess the value of the dot product between the state and the direction. Our goal is to minimize the number of times whe...
