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作者：Kim, Kyoung-Kuk; Kim, Sojung
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Korea Advanced Institute of Science & Technology (KAIST)
摘要：We consider tempered stable Levy subordinators and develop a bridge sampling method. An approximate conditional probability density function (PDF) given the terminal values is derived with stable index less than one, using the double saddlepoint approximation. We then propose an acceptance-rejection algorithm based on the existing gamma bridge and the inverse Gaussian bridge as proposal densities. Its performance is comparable to existing sequential sampling methods such as Devroye (2009) [Dev...
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作者：Shah, Devavrat; Zaman, Tauhid
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider the problem of detecting the source of a rumor which has spread in a network using only observations about which set of nodes are infected with the rumor and with no information as to when these nodes became infected. In a recent work (Shah and Zaman 2010), this rumor source detection problem was introduced and studied. The authors proposed the graph score function rumor centrality as an estimator for detecting the source. They establish it to be the maximum likelihood estimator wi...
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作者：Goyal, Vineet; Levi, Retsef; Segev, Danny
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); University of Haifa
摘要：Assortment planning of substitutable products is a major operational issue that arises in many industries such as retailing, airlines, and consumer electronics. We consider a single-period joint assortment and inventory planning problem under dynamic substitution with stochastic demands, and provide complexity and algorithmic results as well as insightful structural characterizations of near-optimal solutions for important variants of the problem. First, we show that the assortment planning pr...
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作者：Liberopoulos, George; Andrianesis, Panagiotis
作者单位：University of Thessaly
摘要：We consider a market in which suppliers with asymmetric capacities and asymmetric marginal and fixed costs compete to satisfy a deterministic and inelastic demand of a commodity in a single period. The suppliers bid their costs to an auctioneer who determines the optimal allocation and the resulting payments, a typical situation in deregulated electricity markets. Under classical marginal-cost pricing, the nonconvexity of the total cost may result in losses for some suppliers because they may ...
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作者：Chen, Shi; Lee, Hau; Moinzadeh, Kamran
作者单位：University of Washington; University of Washington Seattle; Stanford University
摘要：We study a supply chain involving a supplier-retailer relationship. When production lead-time is long and the selling season is short, the retailer has to place an order ahead of the season, which resembles the classical Newsvendor model. However, we consider the situation when the supplier agrees to deliver the order in multiple shipments in the season, and then the retailer needs to determine the quantity and/or timing of each shipment. Under a centralized setting, we derive the optimal quan...
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作者：Hoeksma, Ruben; Uetz, Marc
作者单位：Universidad de Chile; University of Twente
摘要：We study the design of mechanisms for a sequencing problem where the types of job-agents consist of processing times and waiting costs that are private to the jobs. In the Bayes-Nash setting, we seek to find a sequencing rule and incentive compatible payments that minimize the total expected payments that have to be made to the agents. It is known that the problem can be efficiently solved when jobs have single-dimensional types. Here, we address the problem with two-dimensional types. We show...
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作者：Amini, Hamed; Filipovic, Damir; Minca, Andreea
作者单位：University of Miami; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Cornell University
摘要：We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all.
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作者：Kou, Steven; Peng, Xianhua
作者单位：National University of Singapore; National University of Singapore; Hong Kong University of Science & Technology
摘要：This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only risk measures that satisfy a set of economic axioms for the Choquet expected utility and the statistical property of general elicitability (i.e., there exists an objective function such that minimizing the expected objective function yields the risk measu...
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作者：Vossen, Thomas W. M.; Wood, R. Kevin; Newman, Alexandra M.
作者单位：University of Colorado System; University of Colorado Boulder; United States Department of Defense; United States Navy; Naval Postgraduate School; Colorado School of Mines
摘要：The open-pit mine block sequencing problem (OPBS) models a deposit of ore and surrounding material near the Earth's surface as a three-dimensional grid of blocks. A solution in discretized time identifies a profit-maximizing extraction (mining) schedule for the blocks. Our model variant, a mixed-integer program (MIP), presumes a predetermined destination for each extracted block, namely, processing plant or waste dump. The MIP incorporates standard constructs but also adds not-so-standard lowe...
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作者：Jaillet, Patrick; Qi, Jin; Sim, Melvyn
作者单位：Massachusetts Institute of Technology (MIT); Hong Kong University of Science & Technology; National University of Singapore
摘要：We consider a class of routing optimization problems under uncertainty in which all decisions are made before the uncertainty is realized. The objective is to obtain optimal routing solutions that would, as much as possible, adhere to a set of specified requirements after the uncertainty is realized. These problems include finding an optimal routing solution to meet the soft time window requirements at a subset of nodes when the travel time is uncertain, and sending multiple capacitated vehicl...
