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作者：Brown, David B.; Smith, James E.; Sun, Peng
作者单位：Duke University
摘要：We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and impose a penalty that punishes violations of nonanticipativity. In applications, the hope is that this relaxed version of the problem will be simpler to solve than the original dynamic prog...
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作者：Denton, Brian T.; Miller, Andrew J.; Balasubramanian, Hari J.; Huschka, Todd R.
作者单位：North Carolina State University; Universite de Bordeaux; University of Massachusetts System; University of Massachusetts Amherst; Mayo Clinic
摘要：The allocation of surgeries to operating rooms (ORs) is a challenging combinatorial optimization problem. There is also significant uncertainty in the duration of surgical procedures, which further complicates assignment decisions. In this paper, we present stochastic optimization models for the assignment of surgeries to ORs on a given day of surgery. The objective includes a fixed cost of opening ORs and a variable cost of overtime relative to a fixed length-of-day. We describe two types of ...
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作者：Chen, Zhi-Long
作者单位：University System of Maryland; University of Maryland College Park
摘要：In many applications involving make-to-order or time-sensitive (e.g., perishable, seasonal) products, finished orders are often delivered to customers immediately or shortly after the production. Consequently, there is little or no finished product inventory in the supply chain such that production and outbound distribution are very intimately linked and must be scheduled jointly to achieve a desired on-time delivery performance at minimum total cost. Research on integrated scheduling models o...
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作者：Tardif, Valerie; Tayur, Sridhar; Reardon, James; Stines, Reid; Zimmerman, Pete
作者单位：Deere & Company
摘要：In 2004, Deere & Company's Commercial & Consumer Equipment Division (C&CE) engaged in a new logistics initiative to further enhance its outbound distribution network. The goal was to offer faster and more reliable replenishment to 2,500 North American independent dealers while keeping logistics costs in check by deploying different tactics during the peak (February-July) and offpeak (August-January) selling and shipping seasons. Deere and SmartOps worked together under a shared reward contract...
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作者：Fibich, Gadi; Gibori, Ro'i
作者单位：Tel Aviv University
摘要：We explicitly calculate the aggregate diffusion dynamics in one-dimensional agent-based models of adoption of new products, without using the mean-field approximation. We then introduce a clusters-dynamics approach, and use it to derive an analytic approximation of the aggregate diffusion dynamics in multidimensional agent-based models. The clusters-dynamics approximation shows that the aggregate diffusion dynamics does not depend on the average distance between individuals, but rather on the ...
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作者：Hora, Stephen C.
作者单位：University of Southern California; University of Southern California
摘要：It is shown how infinite sequences of densities with defined properties can be used to evaluate the expected performance of mathematical aggregation rules for elicited densities. The performance of these rules is measured through the average variance, calibration, and average Brier score of the aggregates. A general result for the calibration of the arithmetic average of densities from well-calibrated independent experts is given. Arithmetic and geometric aggregation rules are compared using s...
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作者：Iida, Tetsuo; Zipkin, Paul
作者单位：Komazawa University; Duke University
摘要：We consider a serial supply chain with one supplier and one retailer. Each obtains some demand forecast information, which may be shared or not. We investigate the members' benefits from sharing information. The forecasts follow a variant of the Martingale model of forecast evolution (MMFE). We construct a simple transfer-payment scheme to align the players' incentives with that of the overall system. The main finding is that, unless the players' incentives are aligned in this way, sharing inf...
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作者：Goh, Joel; Sim, Melvyn
作者单位：National University of Singapore; National University of Singapore; National University of Singapore
摘要：In this paper we focus on a linear optimization problem with uncertainties, having expectations in the objective and in the set of constraints. We present a modular framework to obtain an approximate solution to the problem that is distributionally robust and more flexible than the standard technique of using linear rules. Our framework begins by first affinely extending the set of primitive uncertainties to generate new linear decision rules of larger dimensions and is therefore more flexible...
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作者：Heidergott, Bernd; Farenhorst-Yuan, Taoying
作者单位：Vrije Universiteit Amsterdam; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：We consider multicomponent maintenance systems with an F-failure group age-replacement policy: it keeps failed components idling until F components are failed and then replaces all failed components together with the nonfailed components whose age has passed the critical threshold age theta(n) for components of type n. With each maintenance action, costs are associated. We derive various unbiased gradient estimators based on the measure-valued differentiation approach for the gradient of the a...
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作者：Farias, Vivek F.; Van Roy, Benjamin
作者单位：Massachusetts Institute of Technology (MIT); Stanford University
摘要：We study a problem of dynamic pricing faced by a vendor with limited inventory, uncertain about demand, and aiming to maximize expected discounted revenue over an infinite time horizon. The vendor learns from purchase data, so his strategy must take into account the impact of price on both revenue and future observations. We focus on a model in which customers arrive according to a Poisson process of uncertain rate, each with an independent, identically distributed reservation price. Upon arri...
