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作者：Lichtendahl, Kenneth C., Jr.; Bodily, Samuel E.
作者单位：University of Virginia
摘要：Lifetime financial decisions often require a decision analyst to elicit a decision maker's preferences for consumption streams. In assessing such preferences, the analyst might look for a set of reasonable conditions to check when selecting a utility form. We provide such a set of conditions and show that they lead to the multiplicative-expo-power (MEP) utility form. Some of our conditions involve trade-offs under certainty and others relate to choices under uncertainty. In the deterministic s...
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作者：Vaidyanathan, Balachandran; Ahuja, Ravindra K.
作者单位：State University System of Florida; University of Florida
摘要：The objective of the classical minimum cost flow problem is to send units of a good that reside at one or more points in a network (sources or supply nodes) with arc capacities to one or more other points in the network (sinks or demand nodes), incurring minimum cost. We develop fast algorithms for previously unstudied specially structured minimum cost flow problems that have applications in many areas, such as locomotive and airline scheduling, repositioning of empty rail freight cars, highwa...
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作者：Dunkel, Joern; Weber, Stefan
作者单位：University of Oxford; Leibniz University Hannover
摘要：Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved risk measures have been suggested and analyzed in the recent literature, but their computational implementation has largely been neglected so far. We propose and investigate stochastic approximation algorithms for the convex risk measure Utility-Based Shortfall Risk. Our approach combines stochastic root-finding schemes...
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作者：Kaplan, Edward H.
作者单位：Yale University
摘要：This article presents the first models developed specifically for understanding the infiltration and interdiction of ongoing terror plots by undercover intelligence agents, and does so via novel application of ideas from queueing theory and Markov population processes. The resulting terror queue models predict the number of undetected terror threats in an area from agent activity/utilization data, and also estimate the rate with which such threats can be detected and interdicted. The models tr...
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作者：Lai, Guoming; Margot, Francois; Secomandi, Nicola
作者单位：University of Texas System; University of Texas Austin; Carnegie Mellon University
摘要：The valuation of the real option to store natural gas is a practically important problem that entails dynamic optimization of inventory trading decisions with capacity constraints in the face of uncertain natural gas price dynamics. Stochastic dynamic programming is a natural approach to this valuation problem, but it does not seem to be widely used in practice because it is at odds with the high-dimensional natural gas price evolution models that are widespread among traders. According to the...
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作者：Chhatwal, Jagpreet; Alagoz, Oguzhan; Burnside, Elizabeth S.
作者单位：Merck & Company; University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：Breast cancer is the most common non-skin cancer affecting women in the United States, where every year more than 20 million mammograms are performed. Breast biopsy is commonly performed on the suspicious findings on mammograms to confirm the presence of cancer. Currently, 700,000 biopsies are performed annually in the U. S.; 55%-85% of these biopsies ultimately are found to be benign breast lesions, resulting in unnecessary treatments, patient anxiety, and expenditures. This paper addresses t...
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作者：Rusmevichientong, Paat; Shen, Zuo-Jun Max; Shmoys, David B.
作者单位：Cornell University; Cornell University; University of California System; University of California Berkeley
摘要：We consider an assortment optimization problem where a retailer chooses an assortment of products that maximizes the profit subject to a capacity constraint. The demand is represented by a multinomial logit choice model. We consider both the static and dynamic optimization problems. In the static problem, we assume that the parameters of the logit model are known in advance; we then develop a simple algorithm for computing a profit-maximizing assortment based on the geometry of lines in the pl...
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作者：Cont, Rama; Stoikov, Sasha; Talreja, Rishi
作者单位：Columbia University
摘要：We propose a continuous-time stochastic model for the dynamics of a limit order book. The model strikes a balance between three desirable features: it can be estimated easily from data, it captures key empirical properties of order book dynamics, and its analytical tractability allows for fast computation of various quantities of interest without resorting to. simulation. We describe a simple parameter estimation procedure based on high-frequency observations of the order book and illustrate t...
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作者：Chu, Leon Yang; Shen, Zuo-Jun Max
作者单位：University of Southern California; University of California System; University of California Berkeley
摘要：We study a two-echelon supply chain with one warehouse and N (nonidentical) retailers facing stochastic demand. An easy-to-implement inventory policy, the so-called power-of-two (POT) policy, is proposed to manage inventory for the system. To maintain a certain service level, safety stocks are kept at the warehouse and each retailer outlet to buffer random demand. Our analysis highlights the important role of the warehouse safety stock level, which, in addition to the length of the warehouse o...
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作者：Huh, Woonghee Tim; Janakiraman, Ganesh
作者单位：Columbia University; New York University
摘要：We study a periodically reviewed, serial inventory system in which excess demand from external customers is lost. We derive elementary properties of the vector of optimal order quantities in this system. In particular, we derive bounds on the sensitivity (or, more mathematically, the derivative) of the optimal order quantity at each stage to the vector of the current inventory levels. Our analysis uses the concept of L-natural-convexity, which was studied in discrete convex analysis and recent...
