-
作者：Bassamboo, Achal; Randhawa, Ramandeep S.; Van Mieghem, Jan A.
作者单位：Northwestern University; University of Southern California
摘要：We analytically study optimal capacity and flexible technology selection in parallel queuing systems. We consider N stochastic arrival streams that may wait in N queues before being processed by one of many resources (technologies) that differ in their flexibility. A resource's ability to process k different arrival types or classes is referred to as level-k flexibility. We determine the capacity portfolio (consisting of all resources at all levels of flexibility) that minimizes linear capacit...
-
作者：Iravani, Foad; Dasu, Sriram; Ahmadi, Reza
作者单位：University of Washington; University of Washington Seattle; University of Southern California; University of California System; University of California Los Angeles
摘要：Every year, companies that produce commercial tax preparation software struggle with thousands of state and federal changes to tax laws and forms. Three competitors dominate the market with its short selling season, and release delays slash profits. Tax authorities issue updates August December, and all changes must be processed and incorporated before year end. Systematic resource allocation and process manageinent are crucial yet problematic due to the volume and complexity of changes, brief...
-
作者：Liu, Yunan; Whitt, Ward
作者单位：North Carolina State University; Columbia University
摘要：An algorithm is developed to determine time-dependent staffing levels to stabilize the time-dependent abandonment probabilities and expected delays at positive target values in the M-1/GI/s(1) + GI many-server queueing model, which has a nonhomogeneous Poisson arrival process (the M-1), has general service times (the first GI), and allows customer abandonment according to a general patience distribution (the +GI). New offered-load and modified-offered-load approximations involving infinite-ser...
-
作者：Deng, Xiaotie; Qi, Qi; Saberi, Amin
作者单位：University of Liverpool; City University of Hong Kong; Hong Kong University of Science & Technology; Stanford University
摘要：We study the problem of finding an envy-free allocation of a cake to d + 1 players using d cuts. Two models are considered, namely, the oracle-function model and the polynomial-time function model. In the oracle-function model, we are interested in the number of times an algorithm has to query the players about their preferences to find an allocation with the envy less than c. We derive a matching lower and upper bound of theta(1/is an element of)(d-1) for players with Lipschitz utilities and ...
-
作者：Lejeune, Miguel A.
作者单位：George Washington University
摘要：We propose a new modeling and solution method for probabilistically constrained optimization problems. The methodology is based on the integration of-the stochastic programming and combinatorial pattern recognition fields. It permits the fast solution of stochastic optimization problems in which the random variables are represented by an extremely large number of scenarios. The method involves the binarization of the probability distribution and the generation of a consistent partially defined...
-
作者：Besbes, Omar; Zeevi, Assaf
作者单位：Columbia University
摘要：We consider a general class of network revenue management problems, where mean demand at each point in time is determined by a vector of prices, and the objective is to dynamically adjust these prices so as to maximize expected revenues over a finite sales horizon. A salient feature of our problem is that the decision maker can only observe realized demand over time but does not know the underlying demand function that maps prices into instantaneous demand rate. We introduce a family of blind ...
-
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...
-
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...
-
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...
-
作者：Adams, Warren P.; Henry, Stephen M.
作者单位：Clemson University; United States Department of Energy (DOE); Sandia National Laboratories
摘要：This paper presents an approach for representing functions of discrete variables, and their products, using logarithmic numbers of binary variables. Given a univariate function whose domain consists of n distinct values, it begins by employing a base-2 expansion to express the function in terms of the ceiling of log(2) n binary and n continuous variables, using linear restrictions to equate the functional values with the possible binary realizations. The representation of the product of such a...
