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作者：Adlakha, Sachin; Johari, Ramesh
作者单位：California Institute of Technology; Stanford University
摘要：We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical distribution of the states of other players. Such games can be used to model a diverse set of applications, including network security models, recommender systems, and dynamic search in markets. Stochastic games are generally difficult to analyze, and these difficultie...
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作者：Gong, Xiting; Zhou, Sean X.
作者单位：Chinese University of Hong Kong; Chinese University of Hong Kong
摘要：Emissions trading is a market-based mechanism for curbing emissions, and it has been implemented in Europe, North America, and several other parts of the world. To study its impact on production planning, we develop a dynamic production model, where a manufacturer produces a single product to satisfy random market demands. The manufacturer has access to both a green and a regular production technology, of which the former is more costly but yields fewer emissions. To comply with the emissions ...
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作者：Banciu, Mihai; Mirchandani, Prakash
作者单位：Bucknell University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：The generalized failure rate of a continuous random variable has demonstrable importance in operations management. If the valuation distribution of a product has an increasing generalized failure rate (that is, the distribution is IGFR), then the associated revenue function is unimodal, and when the generalized failure rate is strictly increasing, the global maximum is uniquely specified. The assumption that the distribution is IGFR is thus useful and frequently held in recent pricing, revenue...
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作者：Iancu, Dan A.; Sharma, Mayank; Sviridenko, Maxim
作者单位：Stanford University; International Business Machines (IBM); IBM USA; University of Warwick
摘要：This paper considers a particular class of dynamic robust optimization problems, where a large number of decisions must be made in the first stage, which consequently fix the constraints and cost structure underlying a one-dimensional, linear dynamical system. We seek to bridge two classical paradigms for solving such problems, namely, (1) dynamic programming (DP), and (2) policies parameterized in model uncertainties (also known as decision rules), obtained by solving tractable convex optimiz...
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作者：Loehndorf, Nils; Wozabal, David; Minner, Stefan
作者单位：Vienna University of Economics & Business; Technical University of Munich
摘要：We propose a new approach to optimize operations of hydro storage systems with multiple connected reservoirs whose operators participate in wholesale electricity markets. Our formulation integrates short-term intraday with long-term interday decisions. The intraday problem considers bidding decisions as well as storage operation during the day and is formulated as a stochastic program. The interday problem is modeled as a Markov decision process of managing storage operation over time, for whi...
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作者：Noyan, Nilay; Rudolf, Gabor
作者单位：Sabanci University
摘要：For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area. Existing studies focus on extending univariate stochastic dominance rules to the multivariate case. However, enforcing multivariate stochastic dominance constraints can often be ...
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作者：Cadenillas, Abel; Lakner, Peter; Pinedo, Michael
作者单位：University of Alberta; Ajou University; New York University
摘要：We assume that the cumulative consumer demand for an item follows a Brownian motion, with both the drift and the variance parameters modulated by a continuous-time Markov chain that represents the regime of the economy. The management of the company would like to maintain the inventory level as close as possible to a target inventory level and would also like to produce at a rate that is as close as possible to a target production rate. The company is penalized for deviations from the target l...
