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作者：Feng, Jiejian; Liu, Liming; Liu, Xiaoming
作者单位：Saint Marys University - Canada; Lingnan University; University of Macau
摘要：For a dynamic joint price and lead-time quotation problem with a fairly general demand function, we show that the policy consisting of a threshold and a reward-maximizing lead-time is optimal. This policy offers some interesting managerial insights. Under this policy, finding the exact optimal quotation can be accomplished by single-variable policy iterations of unimodal value functions.
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作者：Kim, Jae Ho; Powell, Warren B.
作者单位：Princeton University; Princeton University
摘要：We formulate and solve the problem of making advance energy commitments for wind farms in the presence of a storage device with conversion losses, mean-reverting price process, and an autoregressive energy generation process from wind. We derive an optimal commitment policy under the assumption that wind energy is uniformly distributed. Then, the stationary distribution of the storage level corresponding to the optimal policy is obtained, from which the economic value of the storage as the rel...
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作者：Steiner, George; Zhang, Rui
作者单位：McMaster University
摘要：There are many situations in supply chain scheduling when the supplier finds it impossible to meet the promised due dates for some orders. We present a model for the rescheduling of orders with simultaneous assignment of attainable revised due dates to minimize due date escalation and tardiness penalties for the supplier. We show that the problem is equivalent to minimizing the total tardiness with rejection with respect to the original due dates. We prove that the problem is NP-hard and prese...
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作者：Yan, Xinghao; Zhao, Hui
作者单位：Western University (University of Western Ontario); University Western Ontario Hospital; Purdue University System; Purdue University
摘要：We study the information asymmetry issues in a decentralized inventory-sharing system consisting of a manufacturer and two independent retailers, who privately hold demand information, noncooperatively place their orders, but cooperatively share inventories with each other. We find that although the manufacturer needs retailers' mean demand and standard deviation for her wholesale price decision, each retailer only needs to know the other retailer's demand standard deviation for his order quan...
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作者：Kardes, Erim; Ordonez, Fernando; Hall, Randolph W.
作者单位：University of Southern California; Universidad de Chile
摘要：This paper presents a robust optimization model for n-person finite state/action stochastic games with incomplete information. We consider nonzero sum discounted stochastic games in which none of the players knows the true data of a game, and each player adopts a robust optimization approach to address the uncertainty. We call these games discounted robust stochastic games. Such games allow us to use simple uncertainty sets for the unknown data and eliminate the need to have an a-priori probab...
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作者：Morrow, W. Ross; Skerlos, Steven J.
作者单位：Iowa State University; University of Michigan System; University of Michigan
摘要：This article describes numerical methods that exploit fixed-point equations equivalent to the first-order condition for Bertrand-Nash equilibrium prices in a class of differentiated product market models based on the mixed-logit model of demand. One fixed-point equation is already prevalent in the literature, and one is novel. Equilibrium prices are computed for the calendar year 2005 new-vehicle market under two mixed-logit models using (i) a state-of-the-art variant of Newton's method applie...
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作者：Ehrenmann, Andreas; Smeers, Yves
作者单位：Engie; Universite Catholique Louvain; Universite Catholique Louvain
摘要：We cast models of the generation capacity expansion type formally developed for the monopoly regime into equilibrium models better adapted for a competitive environment. We focus on some of the risks faced today by investors in generation capacity and thus pose the problem as a stochastic equilibrium model. We illustrate the approach on the problem of the incentive to invest. Agents can be risk neutral or risk averse. We model risk aversion through the CVaR of plants' profit. The CVaR induces ...
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作者：Chockalingam, Arun; Muthuraman, Kumar
作者单位：Purdue University System; Purdue University; University of Texas System; University of Texas Austin
摘要：The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility changes. Option pricing methods that have been developed in literature for pricing under stochastic volatility focus mostly on European options. We consider the problem of pricing American options under ...
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作者：Benjaafar, Saif; ElHafsi, Mohsen; Lee, Chung-Yee; Zhou, Weihua
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Riverside; Hong Kong University of Science & Technology; Zhejiang University
摘要：We consider an assembly system with multiple stages, multiple items, and multiple customer classes. The system consists of m production facilities, each producing a different item. Items are produced in variable batch sizes, one batch at a time, with exponentially distributed batch production times. Demand from each class takes place continuously over time according to a compound Poisson process. At each decision epoch, we must determine whether or not to produce an item and, should demand fro...
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作者：Bikhchandani, Sushil; de Vries, Sven; Schummer, James; Vohra, Rakesh V.
作者单位：University of California System; University of California Los Angeles; Universitat Trier; Northwestern University
摘要：Consider selling bundles of indivisible goods to buyers with concave utilities that are additively separable in money and goods. We propose an ascending auction for the case when the seller is constrained to sell bundles whose elements form a basis of a matroid. It extends easily to polymatroids. Applications include scheduling, allocation of homogeneous goods, and spatially distributed markets, among others. Our ascending auction induces buyers to bid truthfully and returns the economically e...
