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作者：Bensoussan, Alain; Guo, Pengfei
作者单位：University of Texas System; University of Texas Dallas; City University of Hong Kong; Hong Kong Polytechnic University
摘要：We study a periodic review inventory model with a nonperishable product over an infinite planning horizon. The demand for the nonperishable product arrives according to a Poisson process. Lost sales are unobservable but the stockout times are observable. We formulate the problem as a dynamic programming model with learning on arrival rate according to stockout times and further simplify it by using unnormalized probabilities. We then compare the system performance with those under other two in...
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作者：Broadie, Mark; Du, Yiping; Moallemi, Ciamac C.
作者单位：Columbia University; Columbia University; Columbia University
摘要：We introduce a regression-based nested Monte Carlo simulation method for the estimation of financial risk. An outer simulation level is used to generate financial risk factors and an inner simulation level is used to price securities and compute portfolio losses given risk factor outcomes. The mean squared error (MSE) of standard nested simulation converges at the rate k(-2/3), where k measures computational effort. The proposed regression method combines information from different risk factor...
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作者：Park, Chuljin; Kim, Seong-Hee
作者单位：Hanyang University; University System of Georgia; Georgia Institute of Technology
摘要：We consider a discrete optimization via simulation (DOvS) problem with stochastic constraints on secondary performance measures in which both objective and secondary performance measures need to be estimated by stochastic simulation. To solve the problem, we develop a new method called the Penalty Function with Memory (PFM). It is similar to an existing penalty-type method-which consists of a penalty parameter and a measure of violation of constraints-in a sense that it converts a DOvS problem...
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作者：Feldman, Jacob B.; Topaloglu, Huseyin
作者单位：Cornell University
摘要：We consider assortment optimization problems when customers choose according to the nested logit model and there is a capacity constraint limiting the total capacity consumption of all products offered in all nests. When each product consumes one unit of capacity, our capacity constraint limits the cardinality of the offered assortment. For the cardinality constrained case, we develop an efficient algorithm to compute the optimal assortment. When the capacity consumption of each product is arb...
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作者：Egami, Masahiko; Oryu, Tadao
作者单位：Kyoto University
摘要：The importance of the global financial system cannot be exaggerated. When a large financial institution becomes problematic and is bailed out, that bank is often claimed as too big to fail. On the other hand, to prevent bank's failure, regulatory authorities adopt the Prompt Corrective Action (PCA) against a bank that violates certain criteria, often measured by its leverage ratio. In this article, we provide a framework where one can analyze the cost and effect of PCAs. We model a large bank ...
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作者：Hall, Nicholas G.; Long, Daniel Zhuoyu; Qi, Jin; Sim, Melvyn
作者单位：University System of Ohio; Ohio State University; Chinese University of Hong Kong; Hong Kong University of Science & Technology; National University of Singapore
摘要：We consider a project selection problem where each project has an uncertain return with partially characterized probability distribution. The decision maker selects a feasible subset of projects so that the risk of the portfolio return not meeting a specified target is minimized. To model and evaluate this risk, we propose and justify a general performance measure, the underperformance riskiness index (URI). We define a special case of the URI, the entropic underperformance riskiness index (EU...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Averbakh, Igor; Berman, Oded; Kalcsics, Joerg; Krass, Dmitry
作者单位：University of Toronto; University Toronto Scarborough; University of Toronto; Helmholtz Association; Karlsruhe Institute of Technology
摘要：We consider facility location problems where the demand is continuously and uniformly distributed over a convex polygon with m vertices in the rectilinear plane, n facilities are already present, and the goal is to find an optimal location for an additional facility. Based on an analysis of structural properties of incremental Voronoi diagrams, we develop polynomial exact algorithms for five conditional location problems. The developed methodology is applicable to a variety of other facility l...
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作者：Huh, Woonghee Tim; Li, Hongmin
作者单位：University of British Columbia; Arizona State University; Arizona State University-Tempe
摘要：We develop a solution approach to the centralized pricing problem of a nested attraction model with a multistage tree structure. We identify conditions under which the optimal solution can be uniquely determined, and we characterize the optimal solution as a fixed point of a single variable. In the special case of a multistage nested logit model, we show the impact of asymmetry in price sensitivity and adjustment index (also known as the dissimilarity index) and we derive a closed-form solutio...
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作者：Cai, Ning; Song, Yingda; Kou, Steven
作者单位：Hong Kong University of Science & Technology; Chinese Academy of Sciences; University of Science & Technology of China, CAS; National University of Singapore; National University of Singapore
摘要：A general framework is proposed for pricing both continuously and discretely monitored Asian options under one-dimensional Markov processes. For each type (continuously monitored or discretely monitored), we derive the double transform of the Asian option price in terms of the unique bounded solution to a related functional equation. In the special case of continuous-time Markov chain (CTMC), the functional equation reduces to a linear system that can be solved analytically via matrix inversio...
