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作者：Goh, Joel; Sim, Melvyn
作者单位：National University of Singapore; National University of Singapore
摘要：We introduce ROME, an algebraic modeling toolbox for a class of robust optimization problems. ROME serves as an intermediate layer between the modeler and optimization solver engines, allowing modelers to express robust optimization problems in a mathematically meaningful way. In this paper, we discuss how ROME can be used to model (1) a service-constrained robust inventory management problem, (2) a project-crashing problem, and (3) a robust portfolio optimization problem. Through these modeli...
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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：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：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：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...
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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：Cook, Wade D.; Zhu, Joe
作者单位：York University - Canada; Worcester Polytechnic Institute
摘要：Data envelopment analysis (DEA) provides an optimization methodology for deriving an efficiency score for each member of a set of peer decision-making units. Under the original DEA model it was assumed that there is constant returns to scale (CRS). This idea was later extended to the more general case that allowed for variable returns to scale (VRS). In both of these structures, it is assumed that the returns to scale (RTS) classification, consistent with the classical definition, applies to t...
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作者：Guo, Pengfei; Hassin, Refael
作者单位：Hong Kong Polytechnic University; Tel Aviv University
摘要：We consider a single server queueing system in which service shuts down when there are no customers present and is resumed only when the queue length reaches a given critical length. We analyze the strategic response of customers to this mechanism and compare it to the overall optimal behavior, with and without information on delay. The results are significantly different from those obtained when the server is continuously available. We show that there may exist multiple equilibria in such a s...
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作者：Liu, Yunan; Whitt, Ward
作者单位：Columbia University
摘要：To describe the congestion in large-scale service systems, we introduce and analyze a non-Markovian open network of many-server fluid queues with customer abandonment, proportional routing, and time-varying model elements. Proportions of the fluid completing service from each queue are immediately routed to the other queues, with the fluid not routed to one of the queues being immediately routed out of the network. The fluid queue network serves as an approximation for the corresponding non-Ma...
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作者：Levina, Tatsiana; Levin, Yuri; McGill, Jeff; Nediak, Mikhail
作者单位：Queens University - Canada
摘要：We consider the problem faced by an airline that is flying both passengers and cargo over a network of locations on a fixed periodic schedule. Bookings for many classes of cargo shipments between origin-destination pairs in this network are made in advance, but the weight and volume of aircraft capacity available for cargo as well as the exact weight and volume of each shipment are not known at the time of booking. The problem is to control cargo accept/reject decisions to maximize expected pr...
