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作者：Halman, Nir; Orlin, James B.; Simchi-Levi, David
作者单位：Hebrew University of Jerusalem; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：The single-item stochastic lot-sizing problem is to find an inventory replenishment policy in the presence of discrete stochastic demands under periodic review and finite time horizon. A closely related problem is the single-period newsvendor model. It is well known that the newsvendor problem admits a closed formula for the optimal order quantity whenever the revenue and salvage values are linear increasing functions and the procurement (ordering) cost is fixed plus linear. The optimal policy...
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作者：Abbas, Ali E.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Arrow and Pratt introduced a measure of risk aversion the negative ratio of the second to the first derivative of the utility function. This measure has found widespread use in the valuation of uncertain lotteries and in the calculation of the risk premium of an investment. This paper introduces two new measures for characterizing changes in the valuation of uncertain lotteries when their outcomes are modified by a monotone transformation. The first is a characteristic transformation of a util...
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作者：Bertsimas, Dimitris; Gupta, Vishal; Paschalidis, Ioannis Ch.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Boston University
摘要：The Black-Litterman (BL) model is a widely used asset allocation model in the financial industry. In this paper, we provide a new perspective. The key insight is to replace the statistical framework in the original approach with ideas from inverse optimization. This insight allows us to significantly expand the scope and applicability of the BL model. We provide a richer formulation that, unlike the original model, is flexible enough to incorporate investor information on volatility and market...
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作者：Chen, Chien-Ming; Delmas, Magali A.
作者单位：Nanyang Technological University; University of California System; University of California Los Angeles; University of California System; University of California Los Angeles
摘要：Growing social concerns over the environmental externalities associated with business activities are pushing firms to identify activities that create economic value with less environmental impact and to become more eco-efficient. Over the past two decades, researchers have increasingly used frontier efficiency models to evaluate productive efficiency in the presence of undesirable outputs, such as greenhouse gas emissions or toxic emissions. In this paper, we identify critical flaws in existin...
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作者：Babonneau, Frederic; Nesterov, Yurii; Vial, Jean-Philippe
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Universite Catholique Louvain
摘要：Problems dealing with the design and operations of gas transmission networks are challenging. The standard approaches lead to a difficult nonlinear nonconvex optimization problem. To get around this difficulty, we use a minimum energy principle to define stationary flows in the network. This solution minimizes the total energy dissipated in the system. We extend the minimization process to the choice of suitable diameters on the reinforcing arcs and add a constraint that limits the monetary co...
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作者：Lim, Eunji; Glynn, Peter W.
作者单位：University of Miami; Stanford University
摘要：Convex regression is concerned with computing the best fit of a convex function to a data set of n observations in which the independent variable is (possibly) multidimensional. Such regression problems arise in operations research, economics, and other disciplines in which imposing a convexity constraint on the regression function is natural. This paper studies a least-squares estimator that is computable as the solution of a quadratic program and establishes that it converges almost surely t...
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作者：Chan, Carri W.; Farias, Vivek F.; Bambos, Nicholas; Escobar, Gabriel J.
作者单位：Columbia University; Massachusetts Institute of Technology (MIT); Stanford University; Stanford University; Kaiser Permanente
摘要：This work examines the impact of discharge decisions under uncertainty in a capacity-constrained high-risk setting: the intensive care unit (ICU). New arrivals to an ICU are typically very high-priority patients and, should the ICU be full upon their arrival, discharging a patient currently residing in the ICU may be required to accommodate a newly admitted patient. Patients so discharged risk physiologic deterioration, which might ultimately require readmission; models of these risks are curr...
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作者：Jennings, Otis B.; Reed, Josh E.
作者单位：Columbia University; New York University
摘要：In this paper we consider a single-server queue fed by K independent renewal arrival streams, each representing a different job class. Jobs are processed in a FIFO fashion, regardless of class. The total amount of work arriving to the system exceeds the server's capacity. That is, the nominal traffic intensity of the system is assumed to be greater than one. Jobs arriving to the system grow impatient and abandon the queue after a random amount of time if service has not yet begun. Interarrival...
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作者：Zhang, Hao
作者单位：University of Southern California
摘要：This paper studies an infinite horizon adverse selection model with an underlying Markov information process. It introduces a graphic representation of continuation contracts and continuation payoff frontiers, namely finite policy graph, and provides an algorithm to approximate the optimal policy graph through iterations. The algorithm performs an additional step after each value iteration-replacing dominated points on the previous continuation payoff frontier by points on the new frontier and...
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作者：Chicoisne, Renaud; Espinoza, Daniel; Goycoolea, Marcos; Moreno, Eduardo; Rubio, Enrique
作者单位：Universidad de Chile; Universidad Adolfo Ibanez; Universidad Adolfo Ibanez; Universidad de Chile; Universidad de Chile
摘要：For the purpose of production scheduling, open-pit mines are discretized into three-dimensional arrays known as block models. Production scheduling consists of deciding which blocks should be extracted, when they should be extracted, and what to do with the blocks once they are extracted. Blocks that are close to the surface should be extracted first, and capacity constraints limit the production in each time period. Since the 1960s, it has been known that this problem can be cast as an intege...
