-
作者：Sobel, Matthew J.; Babich, Volodymyr
作者单位：University System of Ohio; Case Western Reserve University; Georgetown University
摘要：We study lot-size policies in a serial, multistage manufacturing/inventory system with two key generalizations, namely (1) random yields at each production stage and (2) an autoregressive demand process. Previous research shows that the optimal policies in models with random yields (even in models with a single installation) lack the familiar order-up-to structure and are not myopic. Thus, dynamic programming algorithms are needed to compute optimal policies, and one encounters the curse of di...
-
作者：Jain, Apurva; Moinzadeh, Kamran; Zhou, Yong-Pin
作者单位：University of Washington; University of Washington Seattle; University of Hong Kong
摘要：In this paper, we discuss the replenishment decision of seasonal products in a two-echelon distribution system consisting of a supplier and multiple retailers. Because of long manufacturing lead time, the supplier orders its entire stock for the season well in advance. The retailers, on the other hand, can replenish their inventory from the supplier throughout the season as demand realizes. Demand at each retailer follows a Poisson process. Each retailer order incurs a fixed cost, and the usua...
-
作者：Pinker, Edieal J.
作者单位：University of Rochester
-
作者：Desai, Vijay V.; Farias, Vivek F.; Moallemi, Ciamac C.
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Columbia University
摘要：We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural projection of a well-studied linear program for exact dynamic programming. Such programs restrict attention to approximations that are lower bounds to the optimal cost-to-go function. Our program-the smoothed approximate linear program-is distinct from such approaches and relaxe...
-
作者：Pinker, Edieal J.
作者单位：University of Rochester
-
作者：Heller, Yuval
作者单位：University of Oxford; University of Oxford
摘要：In many situations, such as trade in stock exchanges, agents have many opportunities to act within a short interval of time. The agents in such situations can often coordinate their actions in advance, but coordination during the game consumes too much time. An equilibrium in such situations has to be sequential in order to handle mistakes made by players. In this paper, we present a new solution concept for infinite-horizon dynamic games, which is appropriate for such situations: a sequential...
-
作者：Benth, Fred E.; Dahl, Geir; Mannino, Carlo
作者单位：University of Oslo; University of Oslo; Sapienza University Rome
摘要：The current financial crisis motivates the study of correlated defaults in financial systems. In this paper we focus on such a model, which is based on Markov random fields. This is a probabilistic model in which uncertainty in default probabilities incorporates experts' opinions on the default risk (based on various credit ratings). We consider a bilevel optimization model for finding an optimal recovery policy: which companies should be supported given a fixed budget. This is closely linked ...
-
作者：Hu, Jian; Mehrotra, Sanjay
作者单位：Northwestern University
摘要：We introduce and study a family of models for multiexpert multiobjective/criteria decision making. These models use a concept of weight robustness to generate a risk-averse decision. In particular, the multiexpert multicriteria robust weighted sum approach (McRow) introduced in this paper identifies a (robust) Pareto decision that minimizes the worst-case weighted sum of objectives over a given weight region. The corresponding objective value, called the robust value of a decision, is shown to...
-
作者：Atamtuerk, Alper; Berenguer, Gemma; Shen, Zuo-Jun (Max)
作者单位：University of California System; University of California Berkeley
摘要：We study several joint facility location and inventory management problems with stochastic retailer demand. In particular, we consider cases with uncapacitated facilities, capacitated facilities, correlated retailer demand, stochastic lead times, and multicommodities. We show how to formulate these problems as conic quadratic mixed-integer problems. Valid inequalities, including extended polymatroid and extended cover cuts, are added to strengthen the formulations and improve the computational...
