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作者：Alaei, Saeed; Jain, Kamal; Malekian, Azarakhsh
作者单位：Alphabet Inc.; Google Incorporated; University of Toronto
摘要：We present an exact characterization of utilities in competitive equilibria of two-sided matching markets in which the utility of each agent depends on the choice of partner and the terms of the partnership, potentially including monetary transfer. Examples of such markets include sellers and buyers or jobs and workers. Demange and Gale showed that the set of competitive equilibria in this type of market forms a complete lattice with each extreme point of the lattice representing an equilibriu...
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作者：Desir, Antoine; Goyal, Vineet; Wei, Yehua; Zhang, Jiawei
作者单位：Columbia University; Duke University; New York University; New York University; NYU Shanghai
摘要：Sparse process flexibility and the long chain have become important concepts in design flexible manufacturing systems. In this paper, we study the performance of the long chain in comparison to all designs with at most 2 n edges over n supply and n demand nodes. We show that, surprisingly, long chain is not always optimal in this class of networks even for i.i.d. demand distributions. In particular, we present a family of instances where a disconnected network with 2 n edges has a strictly bet...
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作者：Hu, Zhenyu; Chen, Xin; Hu, Peng
作者单位：National University of Singapore; University of Illinois System; University of Illinois Urbana-Champaign; Huazhong University of Science & Technology
摘要：We study a dynamic pricing problem of a firm facing reference price effects at an aggregate demand level, where demand is more sensitive to gains than losses. We find that even the myopic pricing strategy belongs to one type of discontinuous maps, which can exhibit complex dynamics over time. Our numerical examples show that, in general, the optimal pricing strategies may not admit any simple characterizations and the resulting reference price/price dynamics can be very complicated. We then sh...
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作者：Atkinson, Michael; Kress, Moshe; Lange, Rutger-Jan
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School; Vrije Universiteit Amsterdam; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We analyze a variant of the whereabouts search problem, in which a searcher looks for a target hiding in one of n possible locations. Unlike in the classic version, our searcher does not pursue the target by actively moving from one location to the next. Instead, the searcher receives a stream of intelligence about the location of the target. At any time, the searcher can engage the location he thinks contains the target or wait for more intelligence. The searcher incurs costs when he engages ...
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作者：Nazerzadeh, Hamid; Perakis, Georgia
作者单位：University of Southern California; Massachusetts Institute of Technology (MIT)
摘要：We analyze the equilibrium of an incomplete information game consisting of two capacity-constrained suppliers and a single retailer. The capacity of each supplier is her private information. Conditioned on their capacities, the suppliers simultaneously and noncooperatively offer quantity-price schedules to the retailer. Then, the retailer decides on the quantities to purchase from each supplier to maximize his own utility. We prove the existence of a (pure strategy) Nash equilibrium for this g...
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作者：Bensoussan, Alain; Jang, Bong-Gyu; Park, Seyoung
作者单位：University of Texas System; University of Texas Dallas; City University of Hong Kong; Pohang University of Science & Technology (POSTECH); National University of Singapore
摘要：We develop a new approach for solving the optimal retirement problem for an individual with an unhedgeable income risk. The income risk stems from a forced unemployment event, which occurs as an exponentially distributed random shock. The optimal retirement problem is to determine an individual's optimal consumption and investment behaviors and optimal retirement time simultaneously. We introduce a new convex-duality approach for reformulating the original retirement problem and provide an ite...
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作者：Elmachtoub, Adam N.; Levi, Retsef
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：We consider new online variants of supply chain management models, where in addition to production decisions, one also has to actively decide on which customers to serve. Specifically, customers arrive sequentially during a selection phase, and one has to decide whether to accept or reject each customer upon arrival. If a customer is rejected, then a lost-sales cost is incurred. Once the selection decisions are all made, one has to satisfy all the accepted customers with minimum possible produ...
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作者：Shapiro, Alexander
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：In this paper we consider the notion of rectangularity of a set of probability measures from a somewhat different point of view. We define rectangularity as a property of dynamic decomposition of a distributionally robust stochastic optimization problem and show how it relates to the modern theory of coherent risk measures. Consequently, we discuss robust formulations of multistage stochastic optimization problems in frameworks of stochastic programming, stochastic optimal control, and Markov ...
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作者：Blanchet, Jose; Gallego, Guillermo; Goyal, Vineet
作者单位：Columbia University; Hong Kong University of Science & Technology
摘要：Assortment planning is an important problem that arises in many industries such as retailing and airlines. One of the key challenges in an assortment planning problem is to identify the right model for the substitution behavior of customers from the data. Error in model selection can lead to highly suboptimal decisions. In this paper, we consider a Markov chain based choice model and show that it provides a simultaneous approximation for all random utility based discrete choice models includin...
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作者：Ardestani-Jaafari, Amir; Delage, Erick
作者单位：Universite de Montreal; HEC Montreal
摘要：Robust optimization is a methodology that has gained a lot of attention in the recent years. This is mainly due to the simplicity of the modeling process and ease of resolution even for large scale models. Unfortunately, the second property is usually lost when the cost function that needs to be robustified is not concave (or linear) with respect to the perturbing parameters. In this paper we study robust optimization of sums of piecewise linear functions over polyhedral uncertainty set. Given...
