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作者：Johari, Ramesh; Weintraub, Gabriel Y.; Van Roy, Benjamin
作者单位：Stanford University; Columbia University
摘要：We analyze investment incentives and market structure under oligopoly competition in industries with congestion effects. Our results are particularly focused on models inspired by modern technology-based services such as telecommunications and computing services. We consider situations where firms compete by simultaneously choosing prices and investments; increasing investment reduces the congestion disutility experienced by consumers. We define a notion of returns to investment, according to ...
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作者：Ben-Tal, Aharon; Bertsimas, Dimitris; Brown, David B.
作者单位：Technion Israel Institute of Technology; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Duke University
摘要：In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our primary objective is to develop this framework and relate it to the standard notion of robustness, which d...
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作者：Hirade, Ryo; Osogami, Takayuki
作者单位：International Business Machines (IBM); IBM Japan
摘要：The performance of storage systems and database systems depends significantly on the page replacement policies. Although many page replacement policies have been discussed in the literature, their performances are not fully understood. We introduce analytical techniques for evaluating the performances of page replacement policies including two queue (2Q), which manages two buffers to capture both the recency and frequency of requests. We derive an exact expression for the probability that a re...
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作者：Zhao, Jinye; Hobbs, Benjamin F.; Pang, Jong-Shi
作者单位：Johns Hopkins University; Johns Hopkins University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Carbon dioxide allowance trading systems for electricity generators are in place in the European Union and in several U.S. states. An important question in the design of such systems is how allowances are to be initially allocated: by auction, by giving away fixed amounts (grandfathering), or by allocating based on present or recent output, investment, or other decisions. The latter system can bias investment, operations, and product pricing decisions and increase costs relative to the other s...
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作者：Breton, Michele; de Frutos, Javier
作者单位：Universite de Montreal; Universite de Montreal; HEC Montreal; Universidad de Valladolid
摘要：In this paper, we propose a partial differential equation formulation for the value of an option when the underlying asset price is described by a discrete-time GARCH process. Our numerical approach involves a spectral Fourier-Chebyshev interpolation. Numerical illustrations are provided, and the results are compared with other available valuation methods. Our numerical procedure converges exponentially fast and allows for the efficient computation of option prices, achieving a high level of p...
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作者：Chen, Xin; Zhang, Yuhan; Zhou, Sean X.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong
摘要：In this paper, we establish a new preservation property of quasi-K-concavity under certain optimization operations. One important application of the result is to analyze joint inventory-pricing models for single-product periodic-review inventory systems with concave ordering costs. At each period, an ordering quantity and a selling price of the product are determined simultaneously. Demand is random but sensitive to the price. The objective is to maximize the total expected discounted profit o...
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作者：Kubler, Felix; Schmedders, Karl
作者单位：University of Zurich; Swiss Finance Institute (SFI); University of Zurich; Swiss Finance Institute (SFI)
摘要：Multiplicity of equilibria is a prevalent problem in many economic models. Often equilibria are characterized as solutions to a system of polynomial equations. This paper gives an introduction to the application of Grobner bases for finding all solutions of a polynomial system. The Shape Lemma, a key result from algebraic geometry, states under mild assumptions that a given equilibrium system has the same solution set as a much simpler triangular system. Essentially, the computation of all sol...
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作者：Chen, Li
作者单位：Duke University
摘要：In most retail environments, when inventory runs out, the unmet demand is lost and not observed. The sales data are effectively censored by the inventory level. Factoring this censored data effect into demand estimation and inventory control decision makes the problem difficult to solve. In this paper, we focus on developing bounds and heuristics for this problem. Specifically, we consider a finite-horizon inventory control problem for a nonperishable product with unobserved lost sales and a d...
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作者：Ren, Z. Justin; Cohen, Morris A.; Ho, Teck H.; Terwiesch, Christian
作者单位：Boston University; University of Pennsylvania; University of California System; University of California Berkeley
摘要：In this paper, we study the practice of forecast sharing and supply chain coordination with a game-theoretical model. We find that in a one-shot version of the game, forecasts are not shared truthfully by the customer. The supplier will rationally discount the forecast information in her capacity allocation. This results in Pareto suboptimality for both supply chain parties. However, we show that a more efficient, truth-sharing outcome can emerge as an equilibrium from a long-term relationship...
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作者：Armstrong, Christopher S.; Larcker, David F.; Su, Che-Lin
作者单位：University of Pennsylvania; Stanford University; University of Chicago
摘要：The two major paradigms in the theoretical agency literature are moral hazard (i.e., hidden action) and adverse selection (i.e., hidden information). Prior research typically solves these problems in isolation, as opposed to simultaneously incorporating both adverse selection and moral hazard features. We formulate two complementary generalized principal-agent models that incorporate features observed in real-world contracting environments (e. g., agents with power utility and limited liabilit...
