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作者：Armony, Mor; Ward, Amy R.
作者单位：New York University; University of Southern California
摘要：In a call center, there is a natural trade-off between minimizing customer wait time and fairly dividing the workload among agents of different skill levels. The relevant control is the routing policy, that is, the decision concerning which agent should handle an arriving call when more than one agent is available. We formulate an optimization problem for a call center with heterogeneous agent pools, in which each pool is distinguished by the speed at which agents in that pool handle calls. Th...
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作者：See, Chuen-Teck; Sim, Melvyn
作者单位：National University of Singapore; Singapore-MIT Alliance for Research & Technology Centre (SMART); National University of Singapore; Nanyang Technological University; Massachusetts Institute of Technology (MIT)
摘要：We propose a robust optimization approach to address a multiperiod inventory control problem under ambiguous demands, that is, only limited information of the demand distributions such as mean, support, and some measures of deviations. Our framework extends to correlated demands and is developed around a factor-based model, which has the ability to incorporate business factors as well as time-series forecast effects of trend, seasonality, and cyclic variations. We can obtain the parameters of ...
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作者：Hong, L. Jeff; Liu, Guangwu
作者单位：Hong Kong University of Science & Technology; City University of Hong Kong
摘要：A probability is the expectation of an indicator function. However, the standard pathwise sensitivity estimation approach, which interchanges the differentiation and expectation, cannot be directly applied because the indicator function is discontinuous. In this paper, we design a pathwise sensitivity estimator for probability functions based on a result of Hong [Hong, L. J. 2009. Estimating quantile sensitivities. Oper. Res. 57(1) 118-130]. We show that the estimator is consistent and follows...
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作者：Vielma, Juan Pablo; Ahmed, Shabbir; Nemhauser, George
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We study the modeling of nonconvex piecewise-linear functions as mixed-integer programming (MIP) problems. We review several new and existing MIP formulations for continuous piecewise-linear functions with special attention paid to multivariate nonseparable functions. We compare these formulations with respect to their theoretical properties and their relative computational performance. In addition, we study the extension of these formulations to lower semicontinuous piecewise-linear functions.
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作者：Huh, Woonghee Tim; Nagarajan, Mahesh
作者单位：Columbia University; University of British Columbia
摘要：In this paper, we propose a simple heuristic approach for the inventory control problem with stochastic demand and multiplicative random yield. Our heuristic tries to find the best candidate within a class of policies that are referred to in the literature as the linear inflation rule (LIR) policies. Our approach is computationally fast, easy to implement, and intuitive to understand. Moreover, we find that in a significant number of instances our heuristic performs better than several other w...
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作者：Chehrazi, Naveed; Weber, Thomas A.
作者单位：Stanford University
摘要：Many decision problems exhibit structural properties in the sense that the objective function is a composition of different component functions that can be identified using empirical data. We consider the approximation of such objective functions, subject to general monotonicity constraints on the component functions. Using a constrained B-spline approximation, we provide a data-driven robust optimization method for environments that can be sample-sparse. The method, which simultaneously ident...
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作者：Pritchard, Geoffrey; Zakeri, Golbon; Philpott, Andrew
作者单位：University of Auckland; University of Auckland
摘要：We discuss a stochastic-programming-based method for scheduling electric power generation subject to uncertainty. Such uncertainty may arise from either imperfect forecasting or moment-to-moment fluctuations, and on either the supply or the demand side. The method gives a system of locational marginal prices that reflect the uncertainty, and these may be used in a market settlement scheme in which payment is for energy only. We show that this scheme is revenue adequate in expectation.
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作者：Lan, Hai; Nelson, Barry L.; Staum, Jeremy
作者单位：Shanghai Jiao Tong University; Northwestern University
摘要：We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner level estimates expected loss conditional on each scenario. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval. It also uses tools from the ranking-and-selection literature to make the simulation efficient.
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作者：Shang, Kevin H.; Zhou, Sean X.
作者单位：Duke University; Chinese University of Hong Kong
摘要：This paper studies a periodic-review, serial inventory system in which echelon (r, nQ,T) policies are implemented. Under such a policy, each stage reviews its inventory in every T period and orders according to an echelon (r,nQ) policy. Two types of fixed costs are considered: one is associated with each order batch Q, and the other is incurred for each inventory review. The objective is to find the policy parameters such that the average total cost per period is minimized. This paper provides...
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作者：Chung, William; Fuller, J. David
作者单位：City University of Hong Kong; University of Waterloo
摘要：We present a modification to Dantzig-Wolfe decomposition of variational inequality (VI) problems that allows for approximation of the VI mapping in the subproblem. The approximation is parameterized by the most recent master problem solution, and it must satisfy two simple requirements. In an electronic companion (online appendix), we show that the proofs of convergence and other important properties go through with subproblem approximation. The approximation procedure is illustrated by an app...
