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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：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...
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作者：Saghafian, Soroush; Van Oyen, Mark P.
作者单位：Harvard University; University of Michigan System; University of Michigan
摘要：To increase resilience in supply chains, we investigate the optimal design of flexibility in a backup system. We model the dynamics of disruptions as Markov chains, and consider a multiproduct, multisupplier supply chain under dynamic disruption risks. Using our model, we first show that a little flexibility in the backup system can go a long way in mitigating dynamic disruption risks. This raises an important and fundamental question in designing flexibility in the backup system: to achieve t...
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作者：Wang, Shouqiang; Sun, Peng; de Vericourt, Francis
作者单位：University of Texas System; University of Texas Dallas; Duke University; European School of Management & Technology
摘要：This paper studies the design of voluntary disclosure regulations for a firm that faces a stochastic environmental hazard. The occurrence of such a hazard is known only to the firm. The regulator, if finding a hazard, collects a fine and mandates the firm to perform costly remediation that reduces the environmental damage. The regulator may inspect the firm at any time to uncover the hazard. However, because inspections are costly, the regulator also offers a reward to the firm for voluntarily...
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作者：Wang, Xiaoqun
作者单位：Tsinghua University
摘要：Discontinuities are common in the pricing and hedging of complex financial derivatives. Quasi-Monte Carlo (QMC) methods for high-dimensional finance problems with discontinuities can be inefficient because of the lack of good smoothness and high dimensionality. Interestingly, path simulation method (PSM) may affect both factors, implying its significance in QMC methods. What defines a good PSM for problems with discontinuities? The ability to align the discontinuities with the coordinate axes ...
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作者：Shi, Cong; Chen, Weidong; Duenyas, Izak
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：We propose a nonparametric data-driven algorithm called DDM for the management of stochastic periodic-review multiproduct inventory systems with a warehouse-capacity constraint. The demand distribution is not known a priori and the firm only has access to past sales data (often referred to as censored demand data). We measure performance of DDM through regret, the difference between the total expected cost of DDM and that of an oracle with access to the true demand distribution acting optimall...
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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：Zhang, Huanan; Shi, Cong; Chao, Xiuli
作者单位：University of Michigan System; University of Michigan
摘要：We develop the first approximation algorithm for periodic-review perishable inventory systems with setup costs. The ordering lead time is zero. The model allows for correlated demand processes that generalize the well-known approaches to model dynamic demand forecast updates. The structure of optimal policies for this fundamental class of problems is not known in the literature. Thus, finding provably near-optimal control policies has been an open challenge. We develop a randomized proportiona...
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作者：Hafizoglu, A. Baykal; Gel, Esma S.; Keskinocak, Pinar
作者单位：Arizona State University; Arizona State University-Tempe; University System of Georgia; Georgia Institute of Technology
摘要：We study price and lead time quotation decisions in a make-to-order system with two customer classes: (1) contract customers whose orders are practically always accepted and fulfilled based on a contract price and lead time agreed on at the beginning of the time horizon, and (2) spot purchasers who arrive over time and are quoted a price and lead time pair dynamically. The objective is to maximize the long-run expected average profit per unit time, where profit from a customer is defined as re...
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作者：Hoogeboom, Maaike; Battarra, Maria; Erdogan, Gunes; Vigo, Daniele
作者单位：Vrije Universiteit Amsterdam; University of Bath; University of Bologna
