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作者：Brown, David B.; Haugh, Martin B.
作者单位：Duke University; Columbia University
摘要：We consider the information relaxation approach for calculating performance bounds for stochastic dynamic programs (DPs), following Brown et al. [Brown DB, Smith JE, Sun P (2010) Information relaxations and duality In stochastic dynamic programs. Oper. Res. 58(4, Part 1):785-801]. This approach generates performance bounds by solving problems with relaxed nonanticipativity constraints and a penalty that punishes violations of these constraints. In this paper, we study infinite horizon DPs with...
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作者：Lee, Ilbin; Epelman, Marina A.; Romeijn, H. Edwin; Smith, Robert L.
作者单位：University of Alberta; University of Michigan System; University of Michigan; University System of Georgia; Georgia Institute of Technology
摘要：We consider discounted Markov decision processes (MDPs) with countablyinfinite state spaces, finite action spaces, and unbounded rewards. Typical examples of such MDPs are inventory management and queueing control problems in which there is no specific limit on the size of inventory or queue. Existing solution methods obtain a sequence of policies that converges to optimality in value but may not improve monotonically, i.e., a policy in the sequence may be worse than preceding policies. Our pr...
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作者：Qi, Anyan; Ahn, Hyun-Soo; Sinha, Amitabh
作者单位：University of Texas System; University of Texas Dallas; University of Michigan System; University of Michigan
摘要：We study a firm's optimal strategy to adjust its capacity using demand information. The capacity adjustment is costly and often subject to managerial hurdles, which sometimes make it difficult to adjust capacity multiple times. To clearly analyze the impact of demand learning on the firm's decision, we study two scenarios. In the first scenario, the firm's capacity adjustment cost increases significantly with respect to the number of adjustments because of significant managerial hurdles, and r...
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作者：Thanh Nguyen
作者单位：Purdue University System; Purdue University
摘要：We analyze the behavior of a competitive n-tier supply chain system, where agents bargain with each other locally. We study the influence of transaction costs on the convergence of the system to a stationary outcome. In particular, we consider a dynamic bargaining game among a finite set of agents and its replications, and use a limit stationary equilibrium to examine the system's behavior as the population's size goes to infinity. The convergence of the system to a limit stationary equilibriu...
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作者：Yildiz, Baris; Karasan, Oya Ekin
作者单位：Koc University; Ihsan Dogramaci Bilkent University
摘要：In this study, we introduce the regenerator location problem in flexible optical networks. With a given traffic demand, the regenerator location problem in flexible optical networks considers the regenerator location, routing, bandwidth allocation, and modulation selection problems jointly to satisfy data transfer demands with the minimum cost regenerator deployment. We propose a novel branch-and-price algorithm for this challenging problem. Using real-world network topologies, we conduct exte...
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作者：Schmidt, Marie; Kroon, Leo; Schoebel, Anita; Bouman, Paul
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Gottingen; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：In this paper we describe the Traveler's Route Choice Problem (TRCP). This is the problem of a traveler in a railway system who plans to take the fastest route to a destination but is faced with a disruption of unknown length on this route. In that case, he can wait until the disruption is over or take a detour route as an alternative. Since the duration of the disruption is not known in advance, he is left with a decision problem under uncertainty. In this paper we model the problem and descr...
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作者：Li, Na; Stanford, David A.; Taylor, Peter; Ziedins, Ilze
作者单位：Western University (University of Western Ontario); McMaster University; University of Melbourne; University of Auckland
摘要：In 1964, Kleinrock proposed a queueing discipline for a single-server queue in which customers from different classes accumulate priority as linear functions of their waiting time. At the instant that a server becomes free, it selects the waiting customer with the highest accumulated priority, provided that the queue is nonempty. He developed a recursion for calculating the expected waiting time for each class. In 2014, Stanford, Taylor, and Ziedins reconsidered this queue, which they termed t...
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作者：Cai, Ning; Song, Yingda; Chen, Nan
作者单位：Hong Kong University of Science & Technology; Shanghai Jiao Tong University; Chinese University of Hong Kong
摘要：The stochastic alpha-beta-rho (SABR) model becomes popular in the financial industry because it is capable of providing good fits to various types of implied volatility curves observed in the marketplace. However, no analytical solution to the SABR model exists that can be simulated directly. This paper explores the possibility of exact simulation for the SABR model. Our contribution is threefold, (i) We propose an exact simulation method for the forward price and its volatility in two special...
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作者：Huang, Junfei; Mandelbaum, Avishai; Zhang, Hanqin; Zhang, Jiheng
作者单位：Chinese University of Hong Kong; Technion Israel Institute of Technology; National University of Singapore; Hong Kong University of Science & Technology
摘要：Data has revealed a noticeable Impact of delay-time-related information on phone-customers; for example and somewhat surprisingly, delay announcements can abruptly increase the likelihood to abandon (hang up). Our starting point is that the latter phenomena can be used to support the control of queue lengths and delays. We do so by timing the announcements appropriately and determining the staffing levels accordingly. To this end, we model a service system as an overloaded GI/M/s+GI queue, in ...
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作者：Zhang, Liqing; Cetinkaya, Sila
作者单位：Southern Methodist University; Southern Methodist University
摘要：We study a practical generalization of the classical stochastic dynamic inventory problem where privately owned trucks with limited cargo capacity are used to transport the replenishment quantity. The resulting replenishment cost function also includes the traditional fixed setup cost, and it is known as a multiple setup cost structure, which leads to complicated cost-to-go functions in the problem of interest. We introduce the concepts of non-(Delta,C)-decreasing and non-(Delta,C)(NK)-decreas...
