2011

最新文章

• Dynamic Pricing with Loss-Averse Consumers and Peak-End Anchoring AI翻译
  作者：Nasiry, Javad; Popescu, Ioana
  作者单位：Hong Kong University of Science & Technology; INSEAD Business School
  摘要：We study the dynamic pricing implications of a new, behaviorally motivated reference price mechanism based on the peak-end memory mode. This model suggests that consumers anchor on a reference price that is a weighted average of the lowest and most recent prices. Loss-averse consumers are more sensitive to perceived losses than gains relative to this reference price. We find that a range of constant pricing policies is optimal for the corresponding dynamic pricing problem. This range is wider ...
• Risk Analysis of Collateralized Debt Obligations AI翻译
  作者：Giesecke, Kay; Kim, Baeho
  作者单位：Stanford University; Korea University
  摘要：Collateralized debt obligations, which are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stochastic methods to measure the risk of positions in collateralized debt obligations and related instruments ...
• A Complementarity Framework for Forward Contracting Under Uncertainty AI翻译
  作者：Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
  摘要：We consider a particular instance of a stochastic multi-leader multi-follower equilibrium problem in which players compete in the forward and spot markets in successive periods. Proving the existence of such equilibria has proved difficult, as has the construction of globally convergent algorithms for obtaining such points. By conjecturing a relationship between forward and spot decisions, we consider a variant of the original game and relate the equilibria of this game to a related simultaneo...
• Optimal Inventory Policies when Purchase Price and Demand Are Stochastic AI翻译
  作者：Berling, Peter; Martinez-de-Albeniz, Victor
  作者单位：Lund University; University of Navarra; IESE Business School
  摘要：In this paper we consider the problem of a firm that faces a stochastic (Poisson) demand and must replenish from a market in which prices fluctuate, such as a commodity market. We describe the price evolution as a continuous stochastic process and we focus on commonly used processes suggested by the financial literature, such as the geometric Brownian motion and the Ornstein-Uhlenbeck process. It is well known that under variable purchase price, a price-dependent base-stock policy is optimal. ...
• Convexity Results for the Erlang Delay and Loss Formulae When the Server Utilization Is Held Constant AI翻译
  作者：Harel, Arie
  作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
  摘要：This paper proves a long-standing conjecture regarding the optimal design of the M/M/s queue. The classical Erlang delay formula is shown to be a convex function of the number of servers when the server utilization is held constant. This means that when the server utilization is held constant, the marginal decrease in the probability that all servers are busy in the M/M/s queue brought about by the addition of two extra servers is always less than twice the decrease brought about by the additi...
• Exact Simulation of Point Processes with Stochastic Intensities AI翻译
  作者：Giesecke, K.; Kakavand, H.; Mousavi, M.
  作者单位：Stanford University
  摘要：Point processes with stochastic arrival intensities are ubiquitous in many areas, including finance, insurance, reliability, health care, and queuing. They can be simulated from a Poisson process by time scaling with the cumulative intensity. The paths of the cumulative intensity are often generated with a discretization method. However, discretization introduces bias into the simulation results. The magnitude of the bias is difficult to quantify. This paper develops a sampling method that eli...
• Nurse Staffing in Medical Units: A Queueing Perspective AI翻译
  作者：de Vericourt, Francis; Jennings, Otis B.
  作者单位：INSEAD Business School; Duke University
  摘要：In this paper, we present a closed queueing model to determine efficient nurse staffing policies. We explicitly model the workload experienced by s nurses within a single medical unit with n homogeneous patients as a closed M / M / s / / n queueing system, where each patient alternates between requiring assistance and not. The performance of the medical unit is based on the probability of excessive delay, the relative frequency with which the delay between the onset of patient neediness and th...
• Optimizing the Societal Benefits of the Annual Influenza Vaccine: A Stochastic Programming Approach AI翻译
  作者：Oezaltin, Osman Y.; Prokopyev, Oleg A.; Schaefer, Andrew J.; Roberts, Mark S.
  作者单位：University of Waterloo; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
  摘要：Seasonal influenza is a major public health concern, and the first line of defense is the flu shot. Antigenic drifts and the high rate of influenza transmission require annual updates to the flu shot composition. The World Health Organization recommends which flu strains to include in the annual vaccine, based on surveillance and epidemiological analysis. There are two critical decisions regarding the flu shot design. One is its composition; currently, three strains constitute the flu shot, an...
• Projected Perspective Reformulations with Applications in Design Problems AI翻译
  作者：Frangioni, Antonio; Gentile, Claudio; Grande, Enrico; Pacifici, Andrea
  作者单位：University of Pisa; Consiglio Nazionale delle Ricerche (CNR); University of Rome Tor Vergata
  摘要：The perspective relaxation (PR) is a general approach for constructing tight approximations to mixed-integer nonlinear programs (MINLP) with semicontinuous variables. The PR of a MINLP can be formulated either as a mixed-integer second-order cone program (MI-SOCP), provided that the original objective function is SOCP-representable, or as a semi-infinite MINLP. In this paper, we show that under some further assumptions (rather restrictive, but satisfied in several practical applications), the ...
• Modeling Cross Correlation in Three-Moment Four-Parameter Decomposition Approximation of Queueing Networks AI翻译
  作者：Kim, Sunkyo
  作者单位：Ajou University
  摘要：In two-moment decomposition approximations of queueing networks, the arrival process is modeled as a renewal process, and each station is approximated as a GI/G/1 queue whose mean waiting time is approximated based on the first two moments of the interarrival times and the service times. The departure process is also approximated as a renewal process even though the autocorrelation of this process may significantly affect the performance of the subsequent queue depending on the traffic intensi...