-
作者：Levin, Yuri; Nediak, Mikhail; Bazhanov, Andrei
作者单位：Queens University - Canada
摘要：We consider a dynamic pricing problem for a monopolistic company selling a perishable product when customer demand is both uncertain and occurs in batches that must be fulfilled as a whole. The seller can price-discriminate between different sized batches by setting different unit prices. The problem is modeled as a stochastic optimal control problem to find an inventory-contingent dynamic pricing policy that maximizes the expected total revenues. We find the optimal pricing policy and prove s...
-
作者：Hu, Ming; Yang, Yi
作者单位：University of Toronto; Zhejiang University
摘要：We consider the classic continuous-review N stage serial inventory system with a homogeneous Poisson demand arrival process at the most downstream stage (Stage 1). Any shipment to each stage, regardless of its size, incurs a positive fixed setup cost and takes a positive constant lead time. The optimal policy for this system under the long-run average cost criterion is unknown. Finding a good worst-case performance guarantee remains an open problem. We tackle this problem by introducing a clas...
-
作者：Manou, Athanasia; Economou, Antonis; Karaesmen, Fikri
作者单位：National & Kapodistrian University of Athens; Koc University
摘要：We consider a transportation station, where customers arrive according to a Poisson process. A transportation facility visits the station according to a renewal process and serves at each visit a random number of customers according to its capacity. We assume that the arriving customers decide whether to join the station or balk, based on a natural reward-cost structure. We study the strategic behavior of the customers and determine their symmetric Nash equilibrium strategies under two levels ...
-
作者：Arlotto, Alessandro; Gans, Noah; Steele, J. Michael
作者单位：Duke University; University of Pennsylvania; University of Pennsylvania
摘要：We identify a rich class of finite-horizon Markov decision problems (MDPs) for which the variance of the optimal total reward can be bounded by a simple linear function of its expected value. The class is characterized by three natural properties: reward nonnegativity and boundedness, existence of a do-nothing action, and optimal action monotonicity. These properties are commonly present and typically easy to check. Implications of the class properties and of the variance bound are illustrated...
-
作者：Cho, Soo-Haeng; Jang, Hoon; Lee, Taesik; Turner, John
作者单位：Carnegie Mellon University; Korea Advanced Institute of Science & Technology (KAIST); University of California System; University of California Irvine
摘要：This paper studies the problem of simultaneously locating trauma centers and helicopters. The standard approach to locating helicopters involves the use of helicopter busy fractions to model the random availability of helicopters. However, busy fractions cannot be estimated a priori in our problem because the demand for each helicopter cannot be determined until the trauma center locations are selected. To overcome this challenge, we endogenize the computation of busy fractions within an optim...
-
作者：Kao, Yi-Hao; Van Roy, Benjamin
作者单位：Stanford University
摘要：We consider a problem involving estimation of a high-dimensional covariance matrix that is the sum of a diagonal matrix and a low-rank matrix, and making a decision based on the resulting estimate. Such problems arise, for example, in portfolio management, where a common approach employs principal component analysis (PCA) to estimate factors used in constructing the low-rank term of the covariance matrix. The decision problem is typically treated separately, with the estimated covariance matri...
