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作者：Frazier, Peter I.
作者单位：Cornell University
摘要：We consider the indifference-zone (IZ) formulation of the ranking and selection problem with independent normal samples. In this problem, we must use stochastic simulation to select the best among several noisy simulated systems, with a statistical guarantee on solution quality. Existing IZ procedures sample excessively in problems with many alternatives, in part because loose bounds on probability of correct selection lead them to deliver solution quality much higher than requested. Consequen...
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作者：Delis, Manthos; Iosifidi, Maria; Tsionas, Efthymios G.
作者单位：University of Surrey; Lancaster University
摘要：This article proposes the estimation of the marginal cost of individual firms using semiparametric and nonparametric methods. These methods have a number of appealing features when applied to cost functions. The empirical analysis uses data from a unique sample of the California electricity industry for which we observe the actual marginal cost and estimate the marginal cost from these data. We compare the actual values of marginal cost with the estimates from semiparametric and nonparametric ...
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作者：Simon, Jay; Kirkwood, Craig W.; Keller, L. Robin
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School; Arizona State University; Arizona State University-Tempe; University of California System; University of California Irvine
摘要：This paper presents decision analysis methodology for decisions based on data from geographic information systems. The consequences of a decision alternative are modeled as distributions of outcomes across a geographic region. We discuss conditions that may conform with the decision maker's preferences over a specified set of alternatives; then we present specific forms for value or utility functions that are implied by these conditions. Decisions in which there is certainty about the conseque...
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作者：Wozabal, David
作者单位：Technical University of Munich
摘要：This paper introduces a framework for robustifying convex, law invariant risk measures. The robustified risk measures are defined as the worst case portfolio risk over neighborhoods of a reference probability measure, which represent the investors' beliefs about the distribution of future asset losses. It is shown that under mild conditions, the infinite dimensional optimization problem of finding the worst-case risk can be solved analytically and closed-form expressions for the robust risk me...
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作者：Afeche, Philipp; Diamant, Adam; Milner, Joseph
作者单位：University of Toronto
摘要：We study a double-sided queue with batch arrivals and abandonment. There are two types of customers, patient ones who queue but may later abandon, and impatient ones who depart immediately if their order is not filled. The system matches units from opposite sides of the queue based on a first-come first-served policy. The model is particularly applicable to a class of alternative trading systems called crossing networks that are increasingly important in the operation of modern financial marke...
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作者：Baron, Opher; Berman, Oded; Krass, Dmitry; Wang, Jianfu
作者单位：University of Toronto; Nanyang Technological University
摘要：The most common measure of waiting time is the overall expected waiting time for service. However, in service networks the perception of waiting may also depend on how it is distributed among different stations. Therefore, reducing the probability of a long wait at any station may be important in improving customers' perception of service quality. In a single-station queue it is known that the policy that minimizes the waiting time and the probability of long waits is nonidling. However, this ...
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作者：Cho, Soo-Haeng; Tang, Christopher S.
作者单位：Carnegie Mellon University; University of California System; University of California Los Angeles
摘要：When retailers' orders exceed the supplier's available capacity, the supplier allocates his capacity according to some allocation rule. When retailers are local monopolists, uniform allocation eliminates the gaming effect so that each retailer orders her ideal allocation. However, when two retailers engage in Cournot competition under complete information, a recent study has shown that uniform allocation fails to eliminate the gaming effect so that some retailer may inflate her order strategic...
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作者：Shi, Jim (Junmin); Katehakis, Michael N.; Melamed, Benjamin; Xia, Yusen
作者单位：New Jersey Institute of Technology; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; University System of Georgia; Georgia State University
摘要：This paper considers a continuous-review, single-product, production-inventory system with a constant replenishment rate, compound Poisson demands, and lost sales. Two objective functions that represent metrics of operational costs are considered: (1) the sum of the expected discounted inventory holding costs and lost-sales penalties, both over an infinite time horizon, given an initial inventory level; and (2) the long-run time average of the same costs. The goal is to minimize these cost met...
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作者：Anily, Shoshana; Haviv, Moshe
作者单位：Tel Aviv University; Hebrew University of Jerusalem; Hebrew University of Jerusalem
摘要：A cooperative game with transferable utility is said to be homogeneous of degree one if for any integer m, the value of cloning m times all players at any given coalition, leads to m times the value of the original coalition. We show that this property coupled with subadditivity, guarantees the nonemptyness of the core of the game and of all its subgames, namely, the game is totally balanced. Examples for games stemming from the areas of retailing and of facility location are given.
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作者：Wang, Zizhuo; Deng, Shiming; Ye, Yinyu
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Huazhong University of Science & Technology; Stanford University
摘要：We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer (such as price adjustment, sales commission, advertisement intensity, etc.). The relationship between the action and the demand rate is not known in advance. However, the retailer is able to learn the optimal action on the fly as she maximizes her total expect...
