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作者：Molavi, Pooya; Eksin, Ceyhun; Ribeiro, Alejandro; Jadbabaie, Ali
作者单位：Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia Institute of Technology; University of Pennsylvania
摘要：We study a dynamic game in which short-run players repeatedly play a symmetric, strictly supermodular game whose payoffs depend on a fixed unknown state of nature. Each short-run player inherits the beliefs of his immediate predecessor in addition to observing the actions of the players in his social neighborhood in the previous stage. Because of the strategic complementary between their actions, players have the incentive to coordinate with others and learn from them. We show that in any Mark...
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作者：Papier, Felix
作者单位：ESSEC Business School
摘要：We study the problem of allocating supply under advance demand information. We consider a company that must allocate limited inventory to different markets that open sequentially. To reduce uncertainty, the company receives advance demand information and updates forecasts about its markets each time it makes an allocation decision. We study the value and optimal use of this information. This research is motivated by an agrifood manufacturer that operates in several European countries. We devel...
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作者：Du, Chenhao; Cooper, William L.; Wang, Zizhuo
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：We consider a seller's problem of determining revenue-maximizing prices for an assortment of products that exhibit network effects. Customers make purchase decisions according to a multinomial logit choice model, modified-to incorporate network effects-so that the utility each individual customer gains from purchasing a particular product depends on the market's total consumption of that product. In the setting of homogeneous products, we show that if the network effect is comparatively weak, ...
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作者：Lorca, Alvaro; Sun, X. Andy; Litvinov, Eugene; Zheng, Tongxin
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The growing uncertainty associated with the increasing penetration of wind and solar power generation has presented new challenges to the operation of large-scale electric power systems. Motivated by these challenges, we present a multistage adaptive robust optimization model for the most critical daily operational problem of power systems, namely, the unit commitment (UC) problem, in the situation where nodal net electricity loads are uncertain. The proposed multistage robust UC model takes i...
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作者：Qin, Likuan; Linetsky, Vadim
作者单位：Northwestern University
摘要：This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process, or BRP) and the stochastic discount factor (SDF) is a positive semimartingale multiplicative functional of X. A key result is the uniqueness theorem for a positive eigenfunction of the pricing operator such that X is recurrent under a new probability measure associated with this eigenfunctio...
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作者：Dentcheva, Darinka; Martinez, Gabriela; Wolfhagen, Eli
作者单位：Stevens Institute of Technology; Mayo Clinic
摘要：We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend the notion of a linear multivariate order, adding flexibility with respect to the controlled portion of the distributions. We propose several methods for the numerical solution of these problems based on augmented Lagrangian framework and analyze their convergence. The methods construct finite-di...
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作者：Oreshkin, Boris N.; Regnard, Nazim; L'Ecuyer, Pierre
作者单位：Universite de Montreal
摘要：We propose, develop, and compare new stochastic models for the daily arrival rate in a call center. Following standard practice, the day is divided into time periods of equal length (e.g., 15 or 30 minutes), the arrival rate is assumed random but constant in time in each period, and the arrivals are from a Poisson process, conditional on the rate. The random rate for each period is taken as a deterministic base rate (or expected rate) multiplied by a random busyness factor having mean 1. Model...
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作者：Wang, Zizhuo
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：We consider the dynamic pricing problem a monopolistic seller faces when customers arrive in heterogeneous time periods and their purchase decisions are affected by reference prices formed from their past observations of prices. We illustrate that a new form of price discrimination opportunity exists in such situations, where the seller's optimal pricing strategy is a cyclic one, even when the customers are loss-neutral and their demand functions are identical. This result differs from those o...
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作者：Xie, Jing; Frazier, Peter I.; Chick, Stephen E.
作者单位：Cornell University; INSEAD Business School
摘要：This paper addresses discrete optimization via simulation. We show that allowing for both a correlated prior distribution on the means (e.g., with discrete Kriging models) and sampling correlation (e.g., with common random numbers, or CRN) can significantly improve the ability to quickly identify the best alternative. These two correlations are brought together for the first time in a highly sequential knowledge-gradient sampling algorithm, which chooses points to sample using a Bayesian value...
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作者：Federgruen, Awi; Hu, Ming
作者单位：Columbia University; University of Toronto
摘要：We analyze a general model in which, at each echelon of the supply process, an arbitrary number of firms compete, offering one or multiple products to some or all of the firms at the next echelon, with firms at the most downstream echelon selling to the end consumer. At each echelon, the offered products are differentiated and the firms belonging to this echelon engage in price competition. The model assumes a general set of piecewise linear consumer demand functions for all products (potentia...
