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作者：Fibich, Gadi; Klein, Roy; Koenigsberg, Oded; Muller, Eitan
作者单位：Tel Aviv University; University of London; London Business School; Reichman University; New York University
摘要：Service providers, such as cell phone carriers, often offer three-part tariff plans that consist of three levers: A fixed fee, an allowance of free units, and a price per unit above the allowance. In previous studies the optimal three-part tariff contract was characterized using the standard first-order conditions approach. Because this optimization problem Is nonsmooth, however, It could only be solved In a few simple cases. In this study we employ a different methodology that Is based on obt...
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作者：Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun
作者单位：Korea Advanced Institute of Science & Technology (KAIST)
摘要：In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model-a single asset model with a multidimensional Wishart variance process. Our method Is based on analysis of the conditional characteristic function of the log-price given a terminal volatility level. In particular, we found an explicit expression for the conditional characteristic function for the Heston model. Numerical experiments demonstrate that our new method Is much fas...
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作者：Bansal, Saurabh; Gutierrez, Genaro J.; Keiser, John R.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Texas System; University of Texas Austin; Dow Chemical Company
摘要：Motivated by a unique agribusiness setting, this paper develops an optimization-based approach to estimate the mean and standard deviation of probability distributions from noisy quantile judgments provided by experts. The approach estimates the mean and standard deviations as weighted linear combinations of quantile judgments, where the weights are explicit functions of the expert's judgmental errors. The approach is analytically tractable, and provides flexibility to elicit any set of quanti...
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作者：Alpern, Steve
作者单位：University of Warwick
摘要：This paper introduces a new search paradigm to hide-and-seek games on networks. The Hider locates at any point on any arc. The Searcher adopts a combinatorial path when searching the network: a sequence of arcs, each adjacent to the last, and traced out at unit speed. In previous literature the Searcher was allowed simple motion, any unit speed path, including ones that turn around inside an arc. The new approach more closely models real problems such as search for improvised explosive devices...
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作者：Khazaei, Javad; Zakeri, Golbon; Oren, Shmuel S.
作者单位：Princeton University; University of Auckland; University of California System; University of California Berkeley
摘要：Participants in electricity markets face a substantial amount of uncertainty, and with Increased penetration of volatile renewable generation this uncertainty has further increased. Conventionally designed electricity markets cope with uncertainty by running two markets: a market that is cleared ahead of time, followed by a real-time balancing market to reconcile actual realizations of demand and available generation. In such mechanisms, the initial clearing process does not take into account ...
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作者：Wang, Tong; Gong, Xiting; Zhou, Sean X.
作者单位：Shanghai Jiao Tong University; Chinese University of Hong Kong; Chinese University of Hong Kong
摘要：We study optimal policies for dual-supply inventory systems where a firm commits to buying a total minimum quantity from both supplies or two separate total minimum quantities from each supply over a finite planning horizon. The two supply options differ in their costs and lead times. For the system under the joint commitment, the optimal policy has a simple structure and can be fully characterized by three critical numbers in each period. For the system under the separate commitments, we show...
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作者：Chen, Li; Song, Jing-Sheng; Zhang, Yue
作者单位：Cornell University; Duke University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We study Inventory control of serial supply chains with continuous, Markov-modulated demand (MMD). Our goal is to simplify the computational complexity by resorting to certain approximation techniques, and, in doing so, to gain a deeper understanding of the problem. First, we perform a derivative analysis of the problem's optimality equations and develop general, analytical solution bounds for the optimal policy. This leads to simple-to-compute near-optimal heuristic solutions, which also reve...
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作者：Feldman, Jacob B.; Topaloglu, Huseyin
作者单位：Washington University (WUSTL)
摘要：We consider revenue management problems when customers choose among the offered products according to the Markov chain choice model. In this choice model, a customer arrives Into the system to purchase a particular product. If this product Is available for purchase, then the customer purchases It. Otherwise, the customer transitions to another product or to the no purchase option, until she reaches an available product or the no purchase option. We consider three classes of problems. First, we...
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作者：Lu, Tao; Fransoo, Jan C.; Lee, Chung-Yee
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Eindhoven University of Technology; Hong Kong University of Science & Technology
摘要：Many seasonal products are transported via ocean carriers from origin to destination markets. The shipments arriving earlier in the market may sell at higher prices, but faster shipping services can be costly. In this paper, we study a newsvendor-type shipper who transports and sells seasonal products to an overseas market, where the selling price declines over time. A set of vessels with different schedules and freight rates are available to choose from. Our analysis demonstrates that a portf...
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作者：Bergman, David; Imbrogno, Jason
作者单位：University of Connecticut
摘要：In this paper, an analytical approach to National Football League (NFL) survival pools Is investigated. This paper Introduces Into the literature NFL survival pools and presents optimization models for determining strategies. Computational results indicate that planning only partway through the season yields the highest survival probabilities, which dominate millions of randomly generated strategies.
