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作者：Peura, Heikki; Bunn, Derek W.
作者单位：University of London; London Business School; University of London; London Business School
摘要：Peak producers of nonstorable products, such as electricity, provide crucial flexible operating capacity to respond to infrequent and transient high demand periods. Faced with these uncertain revenue-earning opportunities, despite often having significant price-setting power, they need to profit from a limited number of pricing decisions in order to meet financial targets for viability. We study the repeated interaction between peak producers with a model that captures both the uncertainty in ...
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作者：Vossen, Thomas W. M.; Zhang, Dan
作者单位：University of Colorado System; University of Colorado Boulder
摘要：The linear programming approach to approximate dynamic programming has received considerable attention in the recent network revenue management literature. A major challenge of the approach lies in solving the resulting approximate linear programs (ALPs), which often have a huge number of constraints and/or variables. We show that the ALPs can be dramatically reduced in size for both affine and separable piecewise linear approximations to network revenue management problems, under both indepen...
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作者：Jasin, Stefanus; Sinha, Amitabh
作者单位：University of Michigan System; University of Michigan
摘要：We consider an online multi-item retailer with multiple fulfillment facilities and finite inventory. The challenge faced by the retailer is to construct a fulfillment policy to decide from which facility each of the items in the arriving order should be fulfilled, in a way that minimizes the expected total shipping costs of fulfilling customer orders over a finite horizon. Shipping costs are linear in the size of the package shipped as well as the distance from the facility to the customer. We...
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作者：Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik
作者单位：University of Warwick; University of Warwick; University of Minnesota System; University of Minnesota Twin Cities; Singapore University of Technology & Design
摘要：In this paper, we develop a distributionally robust portfolio optimization model where the robustness is across different dependency structures among the random losses. For a Frechet class of discrete distributions with overlapping marginals, we show that the distributionally robust portfolio optimization problem is efficiently solvable with linear programming. To guarantee the existence of a joint multivariate distribution consistent with the overlapping marginal information, we make use of a...
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作者：Jiang, Daniel R.; Powell, Warren B.
作者单位：Princeton University
摘要：Many sequential decision problems can be formulated as Markov decision processes (MDPs) where the optimal value function (or cost-to-go function) can be shown to satisfy a monotone structure in some or all of its dimensions. When the state space becomes large, traditional techniques, such as the backward dynamic programming algorithm (i. e., backward induction or value iteration), may no longer be effective in finding a solution within a reasonable time frame, and thus we are forced to conside...
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作者：Qi, Wei; Liang, Yong; Shen, Zuo-Jun Max
作者单位：Tsinghua University; Tsinghua University; University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：Regions with abundant wind resources usually have no ready access to the existing electric grid. However, building transmission lines that instantaneously deliver all geographically distributed wind energy can be costly. Energy storage (ES) systems can help reduce the cost of bridging wind farms and grids and mitigate the intermittency of wind outputs. In this paper, we propose models of transmission network planning with colocation of ES systems. Our models determine the sizes and sites of ES...
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作者：Kim, Kibaek; Mehrotra, Sanjay
作者单位：Northwestern University
摘要：We study the problem of integrated staffing and scheduling under demand uncertainty. This problem is formulated as a two-stage stochastic integer program with mixed-integer recourse. The here-and-now decision is to find initial staffing levels and schedules. The wait-and-see decision is to adjust these schedules at a time closer to the actual date of demand realization. We show that the mixed-integer rounding inequalities for the second-stage problem convexify the recourse function. As a resul...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Goh, Joel; Bjarnadottir, Margret V.; Bayati, Mohsen; Zenios, Stefanos A.
作者单位：Harvard University; University System of Maryland; University of Maryland College Park; Stanford University
摘要：Postmarketing drug surveillance is the process of monitoring the adverse events of pharmaceutical or medical devices after they are approved by the appropriate regulatory authorities. Historically, such surveillance was based on voluntary reports by medical practitioners, but with the widespread adoption of electronic medical records and comprehensive patient databases, surveillance systems that utilize such data are of considerable interest. Unfortunately, existing methods for analyzing the d...
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作者：Meng, Fanwen; Qi, Jin; Zhang, Meilin; Ang, James; Chu, Singfat; Sim, Melvyn
作者单位：Hong Kong University of Science & Technology; National University of Singapore
摘要：The admission of emergency patients in a hospital is unscheduled, urgent, and takes priority over elective patients, who are usually scheduled several days in advance. Hospital beds are a critical resource, and the management of elective admissions by enforcing quotas could reduce incidents of shortfall. We propose a distributionally robust optimization approach for managing elective admissions to determine these quotas. Based on an ambiguous set of probability distributions, we propose an opt...
