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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：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：Birge, John R.; Hortacsu, Ali; Pavlin, J. Michael
作者单位：University of Chicago; University of Chicago; Wilfrid Laurier University
摘要：We propose an inverse optimization-based methodology to determine market structure from commodity and transportation prices. The methods are appropriate for locational marginal price-based electricity markets where prices are shadow prices in the centralized optimization used to clear the market. We apply the inverse optimization methodology to outcome data from the Midcontinent ISO electricity market (MISO) and, under noise-free assumptions, recover parameters of transmission and related cons...
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作者：Chen, Li; Mersereau, Adam J.; Wang, Zhe (Frank)
作者单位：Cornell University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We consider the allocation of inventory to stores in a merchandise test, whereby a fashion retailer deploys a new product to stores in limited quantities in order to learn about demand prior to the main selling season. Our problem formulation includes practical considerations like fixed costs and multiperiod inventory considerations but is challenging to analyze directly. Instead, we take a bounding approach that isolates the novel aspect of our problem: the impact of test inventory allocation...
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作者：Rosenbaum, Imry; Staum, Jeremy
作者单位：Northwestern University
摘要：Approximating the function that maps the input parameters of the simulation model to the expectation of the simulation output is an important and challenging problem in stochastic simulation metamodeling. Because an expectation is an integral, this function approximation problem can be seen as parametric integration-approximating the function that maps a parameter vector to the integral of an integrand that depends on the parameter vector. S. Heinrich and coauthors have proved that the multile...
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作者：Chen, Ying-Ju
作者单位：Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：In this paper, we investigate the optimal dynamic auction design for the display advertising industry. Currently, display advertising is sold through two markets side by side. In the traditional guaranteed market, the publisher commits to deliver a prespecified number of impressions within a fixed time frame through a guaranteed contract. In the spot market, the publisher runs an auction to allocate the impressions every period, and the supply of heterogeneous impressions is highly uncertain a...
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作者：Abad, Ibrahim; Ehrenman, Andreas; Smeers, Yves
作者单位：Engie
摘要：Since its initial development, long-term contracts have been associated with the gas industry in all regions of the world. This was also the case in Europe where natural gas trade was, for a long time, dominated by bilateral long-term agreements between producers and midstreamers. These contracts fixed a minimum volume to be exchanged (take or pay) and indexed the gas price using a price formula that usually referred to oil product prices. These arrangements allowed market risk sharing between...
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作者：Bansal, Saurabh; Nagarajan, Mahesh
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of British Columbia
摘要：The acquisition of production flexibility is a well-documented strategy pursued by many firms to counteract certain operational constraints. However, these flexibilities can increase the complexity of a production system and the difficulties in managing increased complexity may hinder exploiting the full benefit of flexibility. In this paper, we consider one such flexibility paradox at an agribusiness firm for an annual $800 million production decision: The firm produces a number of products (...
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作者：Vidal, Thibaut
作者单位：Pontificia Universidade Catolica do Rio de Janeiro
摘要：This article explores a structural neighborhood decomposition for arc routing problems, in which the decisions about traversal orientations during services are made optimally as part of neighbor evaluation procedures. Using memory structures, bidirectional dynamic programming, and lower bounds, we show that a large neighborhood involving classical moves on the sequences of services along with optimal orientation decisions can be searched in amortized O(1) time per move evaluation instead of O(...
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作者：Gardner, Kristen; Harchol-Balter, Mor; Scheller-Wolf, Alan; Velednitsky, Mark; Zbarsky, Samuel
作者单位：Carnegie Mellon University; Carnegie Mellon University; University of California System; University of California Berkeley; Carnegie Mellon University
摘要：Redundancy is an important strategy for reducing response time in multi-server distributed queueing systems. This strategy has been used in a variety of settings, but only recently have researchers begun analytical studies. The idea behind redundancy is that customers can greatly reduce response time by waiting in multiple queues at the same time, thereby experiencing the minimum time across queues. Redundancy has been shown to produce significant response time improvements in applications ran...
