-
作者：Pang, Jong-Shi; Su, Che-Lin; Lee, Yu-Ching
作者单位：University of Southern California; University of Chicago; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Discrete-choice demand models are important and fundamental tools for understanding consumers' choice behavior and for analyzing firms' operations and pricing strategies. In these models, products are often described as a vector of observed characteristics. A consumer chooses the product that maximizes her utility, assumed to be a function of the observed product characteristics and the consumer's preference over these product characteristics. One central task in the demand estimation literatu...
-
作者：Wang, Xuan; Zhang, Jiawei
作者单位：New York University; New York University; NYU Shanghai
摘要：Process flexibility has been widely applied in many industries as a competitive strategy to improve responsiveness to demand uncertainty. An important flexibility concept is the long chain proposed by Jordan and Graves (1995) [Jordan WC, Graves SC (1995) Principles on the benefits of manufacturing process flexibility. Management Sci. 41(4):577-594.]. The effectiveness of the long chain has been investigated via numerical as well as theoretical analysis for specific probability distributions of...
-
作者：Park, Beomsoo; Van Roy, Benjamin
作者单位：Stanford University; Stanford University; Stanford University
摘要：We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current and prior activity, and unpredictable random effects. The trader must learn coefficients of a price impact model while trading. We propose a new method for simultaneous execution and learning-the confidence-triggered regularized adaptive certainty equivalent (...
-
作者：Hanasusanto, Grani A.; Kuhn, Daniel; Wiesemann, Wolfram
作者单位：Imperial College London; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Imperial College London
摘要：Over the last two decades, robust optimization has emerged as a computationally attractive approach to formulate and solve single-stage decision problems affected by uncertainty. More recently, robust optimization has been successfully applied to multistage problems with continuous recourse. This paper takes a step toward extending the robust optimization methodology to problems with integer recourse, which have largely resisted solution so far. To this end, we approximate two-stage robust bin...
-
作者：Federgruen, Awi; Wang, Min
作者单位：Columbia University; Drexel University
摘要：In this paper, we show how any model with a general shelf-age-dependent holding cost and delay-dependent backlogging cost structure may be transformed into an equivalent model in which all expected inventory costs are level dependent. We develop our equivalency results, first, for periodic review models with full backlogging of stockouts. These equivalency results permit us to characterize the optimal procurement strategy in various settings and to adopt known algorithms to compute such strate...
-
作者：Abouee-Mehrizi, Hossein; Berman, Oded; Sharma, Shrutivandana
作者单位：University of Waterloo; University of Toronto; Singapore University of Technology & Design
摘要：Mismatch between supply and demand when the uncertainty of the demand is high and the supply lead time is relatively long, such as seasonal good markets, can result in high overstocking and understocking costs. In this paper we propose transshipment as a powerful mechanism to mitigate the mismatch between the supply and demand. We consider a finite horizon multi-period inventory system where in each period two retailers have the option to replenish their inventory from a supplier (if there is ...
-
作者：Adulyasak, Yossiri; Cordeau, Jean-Francois; Jans, Raf
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal
摘要：The production routing problem (PRP) is a generalization of the inventory routing problem and concerns the production and distribution of a single product from a production plant to multiple customers using capacitated vehicles in a discrete- and finite-time horizon. In this study, we consider the stochastic PRP with demand uncertainty in two-stage and multistage decision processes. The decisions in the first stage include production setups and customer visit schedules, while the production an...
-
作者：Alpern, Steve A; Lidbetter, Thomas
作者单位：University of Warwick; University of London; London School Economics & Political Science
摘要：A Searcher seeks to find a stationary Hider located at some point H (not necessarily a node) on a given network Q. The Searcher can move along the network from a given starting point at unit speed, but to actually find the Hider she must pass it while moving at a fixed slower speed (which may depend on the arc). In this bimodal search game, the payoff is the first time the Searcher passes the Hider while moving at her slow speed. This game models the search for a small or well hidden object (e...
-
作者：Gallego, Guillermo; Ratliff, Richard; Shebalov, Sergey
作者单位：Columbia University
摘要：This paper addresses two concerns with the state of the art in network revenue management with dependent demands. The first concern is that the basic attraction model (BAM), of which the multinomial logit (MNL) model is a special case, tends to overestimate demand recapture in practice. The second concern is that the choice-based deterministic linear program, currently in use to derive heuristics for the stochastic network revenue management problem, has an exponential number of variables. We ...
-
作者：Kazaz, Burak; Webster, Scott
作者单位：Syracuse University; Arizona State University; Arizona State University-Tempe
摘要：The price-setting newsvendor problem, which models the economic trade-offs associated with uncertain demand of a perishable product, is fundamental to supply chain analysis. However, in settings such as agriculture, there is significant economic risk associated with supply uncertainty. We analyze how risk aversion and the source of uncertainty-demand and/or supply-affect tractability and optimal decisions. We find that concavity of the objective function is preserved under the introduction of ...
