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作者：Balakrishnan, Anantaram; Li, Gang; Mirchandani, Prakash
作者单位：University of Texas System; University of Texas Austin; Bentley University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：Long-term planning for transportation, telecommunications, and other service operations entails designing networks that are both cost effective and responsive. Because infrastructure networks are expensive and the network's design determines its service capabilities, planners must address complex trade-offs between minimizing the total cost of the network while meeting end-to-end service requirements such as limits on transit time, latency, and transshipments. To address this problem, we study...
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作者：Grushka-Cockayne, Yael; Lichtendahl, Kenneth C., Jr.; Jose, Victor Richmond R.; Winkler, Robert L.
作者单位：University of Virginia; Georgetown University; Duke University
摘要：From forecasting competitions to conditional value-at-risk requirements, the use of multiple quantile assessments is growing in practice. To evaluate them, we use a rule from the general class of proper scoring rules for a forecaster's multiple quantiles of a single uncertain quantity of interest. The general rule is additive in the component scores. Each component contains a function that measures its quantile's distance from the realization and weights its contribution to the overall score. ...
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作者：Gao, Siyang; Chen, Weiwei; Shi, Leyuan
作者单位：City University of Hong Kong; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Wisconsin System; University of Wisconsin Madison; Peking University
摘要：In this paper, we present a new budget allocation framework for the problem of selecting the best simulated design from a finite set of alternatives. The new framework is developed on the basis of general underlying distributions and a finite simulation budget. It adopts the expected opportunity cost (EOC) quality measure, which, compared to the traditional probability of correct selection (PCS) measure, penalizes a particularly bad choice more than a slightly incorrect selection, and is thus ...
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作者：Lozano, Leonardo; Smith, J. Cole
作者单位：Clemson University
摘要：We examine bilevel mixed-integer programs whose constraints and objective functions depend on both upper-and lower-level variables. The class of problems we consider allows for nonlinear terms to appear in both the constraints and the objective functions, requires all upper-level variables to be integer, and allows a subset of the lower-level variables to be integer. This class of bilevel problems is difficult to solve because the upper-level feasible region is defined in part by optimality co...
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作者：Ni, Eric C.; Ciocan, Dragos F.; Henderson, Shane G.; Hunter, Susan R.
作者单位：Cornell University; INSEAD Business School; Purdue University System; Purdue University
摘要：The goal of ranking and selection (R&S) procedures is to identify the best stochastic system from among a finite set of competing alternatives. Such procedures require constructing estimates of each system's performance, which can be obtained simultaneously by running multiple independent replications on a parallel computing platform. Nontrivial statistical and implementation issues arise when designing R&S procedures for a parallel computing environment. We propose several design principles f...
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作者：Hong, L. Jeff; Juneja, Sandeep; Liu, Guangwu
作者单位：City University of Hong Kong; City University of Hong Kong; Tata Institute of Fundamental Research (TIFR)
摘要：Nested estimation involves estimating an expectation of a function of a conditional expectation via simulation. This problem has of late received increasing attention amongst researchers due to its broad applicability particularly in portfolio risk measurement and in pricing complex derivatives. In this paper, we study a kernel smoothing approach. We analyze its asymptotic properties, and present efficient algorithms for practical implementation. While asymptotic results suggest that the kerne...
