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作者：Bayraksan, Guezin; Morton, David P.
作者单位：University of Arizona; University of Texas System; University of Texas Austin
摘要：We develop a sequential sampling procedure for a class of stochastic programs. We assume that a sequence of feasible solutions with an optimal limit point is given as input to our procedure. Such a sequence can be generated by solving a series of sampling problems with increasing sample size, or it can be found by any other viable method. Our procedure estimates the optimality gap of a candidate solution from this sequence. If the point estimate of the optimality gap is sufficiently small acco...
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作者：Agrawal, Shipra; Delage, Erick; Peters, Mark; Wang, Zizhuo; Ye, Yinyu
作者单位：Stanford University; Universite de Montreal; HEC Montreal; Stanford University
摘要：Recently, coinciding with and perhaps driving the increased popularity of prediction markets, several novel pari-mutuel mechanisms have been developed such as the logarithmic market-scoring rule (LMSR), the cost-function formulation of market makers, utility-based markets, and the sequential convex pari-mutuel mechanism (SCPM). In this work, we present a convex optimization framework that unifies these seemingly unrelated models for centrally organizing contingent claims markets. The existing ...
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作者：Humair, Salal; Willems, Sean P.
作者单位：Lahore University of Management Sciences; Harvard University; Harvard T.H. Chan School of Public Health; Boston University
摘要：We present two significant enhancements to the guaranteed-service (GS) model for multiechelon safety stock placement. First, we let each stage's expected inventory cost be a generalized nonconcave non-closed-form function of its incoming and outgoing service time. This allows the GS model to incorporate important phenomena such as variable stage times and nonnested review periods, which previous GS literature has not allowed. Second, we optimize the generalized cost GS model for directed acycl...
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作者：Bhandari, Atul; Secomandi, Nicola
作者单位：Carnegie Mellon University
摘要：Static game-theoretic models of bilateral bargaining assume that the seller knows his valuation for the item that is up for sale; that is, how the seller may determine this quantity is exogenous to these models. In this paper, we develop and analyze a stylized Markov decision process that endogenizes the seller's computation of his marginal inventory valuation in an infinite-horizon revenue management setting when each sale occurs according to a given bilateral bargaining mechanism. We use thi...
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作者：Caramia, Massimiliano; Giordani, Stefano
作者单位：University of Rome Tor Vergata
摘要：Allocating resources in grid computing requires local and external schedulers to communicate in order to achieve an efficient management of the resources themselves. To this end, some economic/market-based models have been introduced in the literature, where users, external schedulers, and local schedulers negotiate to optimize their objectives. In this paper, we propose a tender/contract-net model for the grid resource allocation problem, showing the interactions among the involved actors. Th...
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作者：Andradottir, Sigrun; Ayhan, Hayriye; Down, Douglas G.
作者单位：University System of Georgia; Georgia Institute of Technology; McMaster University
摘要：We consider tandem lines with finite buffers and flexible, heterogeneous servers that are synergistic in that they work more effectively in teams than on their own. Our objective is to determine how the servers should be assigned dynamically to tasks in order to maximize the long-run average throughput. In particular, we investigate when it is better to take advantage of synergy among servers, rather than exploiting the servers' special skills, to achieve the best possible system throughput. W...
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作者：Conforti, Michele; Cornuejols, Gerard; Zambelli, Giacomo
作者单位：University of Padua; Carnegie Mellon University; University of London; London School Economics & Political Science
摘要：Recently it has been shown that minimal inequalities for a continuous relaxation of mixed-integer linear programs are associated with maximal lattice-free convex sets. In this paper, we show how to lift these inequalities for integral nonbasic variables by considering maximal lattice-free convex sets in a higher dimensional space. We apply this approach to several examples. In particular, we identify cases in which the lifting is unique.
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作者：Chen, Binyuan; Kuecuekyavuz, Simge; Sen, Suvrajeet
作者单位：University of Arizona; University System of Ohio; Ohio State University
摘要：In this paper, we give a finite disjunctive programming procedure to obtain the convex hull of general mixed-integer linear programs (MILP) with bounded integer variables. We propose a finitely convergent convex hull tree algorithm that constructs a linear program that has the same optimal solution as the associated MILP. In addition, we combine the standard notion of sequential cutting planes with ideas underlying the convex hull tree algorithm to help guide the choice of disjunctions to use ...
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作者：Wang, Xiaoqun; Sloan, Ian H.
作者单位：Tsinghua University; University of New South Wales Sydney; Hong Kong Polytechnic University
摘要：Quasi-Monte Carlo (QMC) methods are playing an increasingly important role in the pricing of complex financial derivatives. For models in which the prices of the underlying assets are driven by Brownian motions, the performance of QMC methods is known to depend crucially on the construction of Brownian motions. This paper focuses on the impact of various constructions. Although the Brownian bridge (BB) construction often yields very good results, as Papageorgiou pointed out, there are financia...
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作者：Contreras, Ivan; Cordeau, Jean-Francois; Laporte, Gilbert
作者单位：Concordia University - Canada; Universite de Montreal; Universite de Montreal; HEC Montreal; Universite de Montreal
摘要：This paper describes an exact algorithm capable of solving large-scale instances of the well-known uncapacitated hub location problem with multiple assignments. The algorithm applies Benders decomposition to a strong path-based formulation of the problem. The standard decomposition algorithm is enhanced through the inclusion of several features such as the use of a multicut reformulation, the generation of strong optimality cuts, the integration of reduction tests, and the execution of a heuri...
