-
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...
-
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...
-
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...
-
作者：Hu, Peng; Shum, Stephen; Yu, Man
作者单位：Huazhong University of Science & Technology; City University of Hong Kong; Hong Kong University of Science & Technology
摘要：In this paper we formulate and analyze a novel model on a firm's dynamic inventory and markdown decisions for perishable goods. We consider a dynamic stochastic setting, where every period consists of two phases, clearance phase and regular-sales phase. In the clearance phase, the firm decides how much to order for regular sales, as well as whether to markdown some (or all) of the leftover inventory from the previous period that will be disposed otherwise. Since strategic consumers may buy the...
-
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...
-
作者：Alptekinoglu, Aydin; Semple, John H.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Southern Methodist University
摘要：We investigate the use of a canonical version of a discrete choice model due to Daganzo (1979) [Daganzo C (1979) Multinomial Probit: The Theory and Its Application to Demand Forecasting (Academic Press, New York).] in optimal pricing and assortment planning. In contrast to multinomial and nested logit (the prevailing choice models used for optimizing prices and assortments), this model assumes a negatively skewed distribution of consumer utilities, an assumption we motivate by conceptual argum...
-
作者：Bertsimas, Dimitris; King, Angela
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Linear regression models are traditionally built through trial and error to balance many competing goals such as predictive power, interpretability, significance, robustness to error in data, and sparsity, among others. This problem lends itself naturally to a mixed integer quadratic optimization (MIQO) approach but has not been modeled this way because of the belief in the statistics community that MIQO is intractable for large scale problems. However, in the last 25 years (1991-2015), algori...
-
作者：Dai, Tinglong; Jerath, Kinshuk
作者单位：Johns Hopkins University; Columbia University
摘要：We study the impact of limited inventory on optimal sales-force compensation contracts. We adopt a principal-agent framework, characterized by limited liability and rent sharing with the agent. A commonly invoked assumption in the inventory management literature is that the demand distribution satisfies the increasing failure rate (IFR) property. Under this assumption, however, past research has established that a quota-bonus contract-a widely adopted sales-force compensation contract in the p...
-
作者：Correa, Jose; Montoya, Ricardo; Thraves, Charles
作者单位：Universidad de Chile; Massachusetts Institute of Technology (MIT)
摘要：Companies in diverse industries must decide the pricing policy of their inventories over time. This decision becomes particularly complex when customers are forward looking and may defer a purchase in the hope of future discounts and promotions. With such uncertainty, many customers may end up not buying or buying at a significantly lower price, reducing the firm's profitability. Recent studies show that a way to mitigate this negative effect caused by strategic consumers is to use a posted or...
-
作者：Saghafian, Soroush; Tomlin, Brian
作者单位：Harvard University; Dartmouth College
摘要：Operations managers do not typically have full information about the demand distribution. Recognizing this, data-driven approaches have been proposed in which the manager has no information beyond the evolving history of demand observations. In practice, managers often have some partial information about the demand distribution in addition to demand observations. We consider a repeated newsvendor setting, and propose a maximum-entropy based technique, termed Second Order Belief Maximum Entropy...
