2012

最新文章

• A Simulation Optimization Approach to Long-Term Care Capacity Planning AI翻译
  作者：Zhang, Yue; Puterman, Martin L.; Nelson, Matthew; Atkins, Derek
  作者单位：University System of Ohio; University of Toledo; University of British Columbia; University of Toronto
  摘要：This paper describes a methodology for setting long-term care capacity levels over a multiyear planning horizon to achieve target wait time service levels. Our approach integrates demographic and survival analysis, discrete event simulation, and optimization. Based on this methodology, we developed a decision support system for use in practice. We illustrate this approach through two case studies; one for a regional health authority in British Columbia, Canada, and the other for a long-term ca...
• The Bin Packing Problem with Precedence Constraints AI翻译
  作者：Dell'Amico, Mauro; Diaz, Jose Carlos Diaz; Iori, Manuel
  作者单位：Universita di Modena e Reggio Emilia
  摘要：Given a set of identical capacitated bins, a set of weighted items, and a set of precedences among such items, we are interested in determining the minimum number of bins that can accommodate all items and can be ordered in such a way that all precedences are satisfied. The problem, denoted as the bin packing problem with precedence constraints (BPP-P), has a very intriguing combinatorial structure and models many assembly and scheduling issues. According to our knowledge, the BPP-P has receiv...
• Optimizing Boat Resources at the U.S. Coast Guard: Deterministic and Stochastic Models AI翻译
  作者：Wagner, Michael R.; Radovilsky, Zinovy
  作者单位：University of Washington; University of Washington Seattle; California State University System; California State University East Bay
  摘要：The United States Coast Guard (USCG), a part of the U.S. Department of Homeland Security, is the nation's leading agency in maritime security, safety, and stewardship. One of the primary USCG resources is a fleet of boats (maritime vessels less than 65 feet in length) of various types that must be allocated to USCG stations nationwide. This paper describes the academic-industry collaboration between the authors and the USCG, which resulted in the development of an integer linear programming mo...
• Optimal Market-Making with Risk Aversion AI翻译
  作者：Huang, Kan; Simchi-Levi, David; Song, Miao
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Hong Kong
  摘要：Market-makers have the obligation to trade any given amount of assets at quoted bid or ask prices, and their inventories are exposed to the potential loss when the market price moves in an undesirable direction. One approach to reduce the risk brought by price uncertainty is to adjust the inventory at the price of losing potential spread gain. Using stochastic dynamic programming, we show that a threshold inventory control policy is optimal with respect to an exponential utility criterion and ...
• Habit Formation from Correlation Aversion AI翻译
  作者：Lichtendahl, Kenneth C., Jr.; Chao, Raul O.; Bodily, Samuel E.
  作者单位：University of Virginia
  摘要：Making plans about how much to consume and how much to invest in risky assets over an uncertain lifetime is a fundamental economic challenge. The leading models of this planning problem use either additive or habit-forming preferences. For the most part, these models assume an individual is either correlation neutral or correlation seeking in consumption, respectively. In this paper, we introduce two habit-forming, correlation-averse preference models. With these preferences, we find closed-fo...
• Stochastic Optimization of Sensor Placement for Diver Detection AI翻译
  作者：Molyboha, Anton; Zabarankin, Michael
  作者单位：Stevens Institute of Technology
  摘要：A comprehensive framework for diver detection by a hydrophone network in an urban harbor is presented. It includes a signal processing algorithm and a diver detection test and formulates optimal hydrophone placement as a two-stage stochastic optimization problem with respect to different scenarios of underwater noise. The signal processing algorithm identifies sound intensity peaks associated with diver breathing and outputs a diver number measuring the likelihood of diver presence, whereas th...
• A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives AI翻译
  作者：Wang, Yongqiang; Fu, Michael C.; Marcus, Steven I.
  作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
  摘要：Motivated by infinitesimal perturbation analysis (IPA) and the likelihood ratio (LR) method, we derive a new unbiased stochastic derivative estimator for a class of discontinuous payoff functions that arise in many options pricing settings from finance. Our method includes IPA and the LR method as special cases and can be applied to functions of more general forms containing indicator functions. This new estimator can be computed from a single sample path or simulation, whereas existing estima...
• Clearance Pricing Optimization for a Fast-Fashion Retailer AI翻译
  作者：Caro, Felipe; Gallien, Jeremie
  作者单位：University of California System; University of California Los Angeles; University of London; London Business School
  摘要：Fast-fashion retailers such as Zara offer continuously changing assortments and use minimal in-season promotions. Their clearance pricing problem is thus challenging because it involves comparatively more different articles of unsold inventory with less historical price data points. Until 2007, Zara used a manual and informal decision-making process for determining price markdowns. In collaboration with their pricing team, we since designed and implemented an alternative process relying on a f...
• Geo-Graphs: An Efficient Model for Enforcing Contiguity and Hole Constraints in Planar Graph Partitioning AI翻译
  作者：King, Douglas M.; Jacobson, Sheldon H.; Sewell, Edward C.; Cho, Wendy K. Tam
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; Southern Illinois University System; Southern Illinois University Edwardsville; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign
  摘要：Political districting is an intractable problem with significant ramifications for political representation. Districts often are required to satisfy some legal constraints, but these typically are not very restrictive, allowing decision makers to influence the composition of these districts without violating relevant laws. For example, while districts must often comprise a single contiguous area, a vast collection of acceptable solutions (i.e., sets of districts) remains. Choosing the best set...
• Belief Propagation for Min-Cost Network Flow: Convergence and Correctness AI翻译
  作者：Gamarnik, David; Shah, Devavrat; Wei, Yehua
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：Distributed, iterative algorithms operating with minimal data structure while performing little computation per iteration are popularly known as message passing in the recent literature. Belief propagation (BP), a prototypical message-passing algorithm, has gained a lot of attention across disciplines, including communications, statistics, signal, processing, and machine learning as an attractive, scalable, general-purpose heuristic for a wide class of optimization and statistical inference pr...