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作者：Choi, Sungyong; Ruszczynski, Andrzej; Zhao, Yao
作者单位：Nanyang Technological University; Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：We consider a multiproduct risk-averse newsvendor under the law-invariant coherent measures of risk. We first establish several fundamental properties of the model regarding the convexity of the problem, the symmetry of the solution, and the impact of risk aversion. Specifically, we show that for identical products with independent demands, increased risk aversion leads to decreased orders. For a large but finite number of heterogeneous products with independent demands, we derive closed-form ...
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作者：Besbes, Omar; Zeevi, Assaf
作者单位：Columbia University
摘要：We consider a pricing problem in an environment where the customers' willingness-to-pay (WtP) distribution may change at some point over the selling horizon. Customers arrive sequentially and make purchase decisions based on a quoted price and their private reservation price. The seller knows the WtP distribution pre- and postchange but does not know the time at which this change occurs. The performance of a pricing policy is measured in terms of regret: the loss in revenues relative to an ora...
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作者：Turner, John; Scheller-Wolf, Alan; Tayur, Sridhar
作者单位：University of California System; University of California Irvine; Carnegie Mellon University
摘要：Dynamic in-game advertising is a new form of advertising in which ads are served to video game consoles in real time over the Internet. We present a model for the in-game ad-scheduling problem faced by Massive Inc., a wholly owned subsidiary of Microsoft, and a leading global network provider of in-game ad space. Our model has two components: (1) a linear program (solved periodically) establishes target service rates, and (2) a real-time packing heuristic (run whenever a player enters a new le...
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作者：Ibrahim, Rouba; Whitt, Ward
作者单位：McGill University; Columbia University
摘要：We develop new, improved real-time delay predictors for many-server service systems with a time-varying arrival rate, a time-varying number of servers, and customer abandonment. We develop four new predictors, two of which exploit an established deterministic fluid approximation for a many-server queueing model with those features. These delay predictors can be used to make delay announcements. We use computer simulation to show that the proposed predictors outperform previous predictors.
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作者：Toth, Sandor F.; Haight, Robert G.; Rogers, Luke W.
作者单位：University of Washington; University of Washington Seattle; United States Department of Agriculture (USDA); United States Forest Service
摘要：Urban growth compromises open space and ecosystem functions. To mitigate the negative effects, some agencies use reserve selection models to identify conservation sites for purchase or retention. Existing models assume that conservation has no impact on nearby land prices. We propose a new integer program that relaxes this assumption via adaptive cost coefficients. Our model accounts for the two key land price feedbacks that arise in markets where conservation competes with development: the am...
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作者：Huh, Woonghee Tim; Levi, Retsef; Rusmevichientong, Paat; Orlin, James B.
作者单位：University of British Columbia; Massachusetts Institute of Technology (MIT); Cornell University
摘要：Using the well-known product-limit form of the Kaplan-Meier estimator from statistics, we propose a new class of nonparametric adaptive data-driven policies for stochastic inventory control problems. We focus on the distribution-free newsvendor model with censored demands. The assumption is that the demand distribution is not known and there are only sales data available. We study the theoretical performance of the new policies and show that for discrete demand distributions they converge almo...
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作者：Hong, L. Jeff; Yang, Yi; Zhang, Liwei
作者单位：Hong Kong University of Science & Technology; University of California System; University of California Irvine; Dalian University of Technology
摘要：When there is parameter uncertainty in the constraints of a convex optimization problem, it is natural to formulate the problem as a joint chance constrained program (JCCP), which requires that all constraints be satisfied simultaneously with a given large probability. In this paper, we propose to solve the JCCP by a sequence of convex approximations. We show that the solutions of the sequence of approximations converge to a Karush-Kuhn-Tucker (KKT) point of the JCCP under a certain asymptotic...
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作者：Coene, Sofie; Spieksma, Frits C. R.; Woeginger, Gerhard J.
作者单位：KU Leuven; Eindhoven University of Technology
摘要：Latency problems are characterized by their focus on minimizing the waiting time for all clients. We study periodic latency problems, a nontrivial extension of standard latency problems. In a periodic latency problem each client has to be visited regularly: there is a server traveling at unit speed, and there is a set of n clients with given positions. The server must visit the clients over and over again, subject to the constraint that successive visits to client i are at most q(i) time units...
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作者：Bertsimas, Dimitris; Gamarnik, David; Rikun, Alexander Anatoliy
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Performance analysis of queueing networks is one of the most challenging areas of queueing theory. Barring very specialized models such as product-form type queueing networks, there exist very few results that provide provable nonasymptotic upper and lower bounds on key performance measures. In this paper we propose a new performance analysis method, which is based on the robust optimization. The basic premise of our approach is as follows: rather than assuming that the stochastic primitives o...
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作者：Ilhan, Taylan; Iravani, Seyed M. R.; Daskin, Mark S.
作者单位：Northwestern University; University of Michigan System; University of Michigan
摘要：Given a set of items with associated deterministic weights and random rewards, the adaptive stochastic knapsack problem (adaptive SKP) maximizes the probability of reaching a predetermined target reward level when items are inserted sequentially into a capacitated knapsack before the reward of each item is realized. This model arises in resource allocation problems that permit or require sequential allocation decisions in a probabilistic setting. One particular application is in obsolescence i...
