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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：Rauner, Marion S.; Gutjahr, Walter J.; Heidenberger, Kurt; Wagner, Joachim; Pasia, Joseph
作者单位：University of Vienna; University of Vienna; University of Vienna; University of Vienna
摘要：We present a risk-group oriented chronic disease progression model embedded within a metaheuristic-based optimization of the policy variables. Policy-makers are provided with Pareto-optimal screening schedules for risk groups by considering cost and effectiveness outcomes as well as budget constraints. The quality of the screening technology depends on risk group, disease stage, and time. As the metaheuristic solution technique, we use the Pareto ant colony optimization (P-ACO) algorithm for m...
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作者：Cervellera, Cristiano; Maccio, Danilo; Muselli, Marco
作者单位：Consiglio Nazionale delle Ricerche (CNR); Istituto di Studi sui Sistemi Intelligenti per l'Automazione (ISSIA-CNR); Consiglio Nazionale delle Ricerche (CNR); Istituto di Elettronica e di Ingegneria dell'Informazione e delle Telecomunicazioni (IEIIT-CNR)
摘要：An approach based on semilocal approximation is introduced for the solution of a general class of operations research problems, such as Markovian decision problems, multistage optimal control, and maximum-likelihood estimation. Because it is extremely hard to derive analytical solutions that minimize the cost in most instances of the problem, we must look for approximate solutions. Here, it is shown that good solutions can be obtained with a moderate computational effort by exploiting properti...
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作者：Huggins, Eric Logan; Olsen, Tava Lennon
作者单位：Fort Lewis College; University of Auckland
摘要：We consider a single-item, periodic-review inventory control problem in which discrete stochastic demand must be satisfied. When shortages occur, the unmet demand must be filled by some form of expediting; we allow a very general form for the cost structure of expediting. We explicitly consider the case where expedited production is allowed to produce up to a positive inventory level. We also consider the case where expedited production beyond the deficit is not permitted; an alternate applica...
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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：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...
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作者：Cavusoglu, Huseyin; Koh, Byungwan; Raghunathan, Srinivasan
作者单位：University of Texas System; University of Texas Dallas
摘要：The proponents of airline passenger profiling claim that profiling will reduce the cost of security, improve the detection of attackers, increase the reliability of signals from screening devices, and reduce the inconvenience to normal passengers. In this paper we show that if the Transportation Security Administration (TSA) manually inspects all those passengers classified as likely attackers and sends others through a screening system, as it did when it deployed the Computer Assisted Passeng...
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作者：Zhang, Hao; Nagarajan, Mahesh; Sosic, Greys
作者单位：University of Southern California; University of British Columbia
摘要：In this paper, we examine a supply chain in which a single supplier sells to a downstream retailer. We consider a multiperiod model with the following sequence of events. In period t the supplier offers a contract to the retailer, and the retailer makes her purchasing decision in anticipation of the random demand. The demand then unravels, and the retailer carries over any excess inventory to the next period (unmet demand is lost). In period t + 1 the supplier designs a new contract based on h...
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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：Boyaci, Tamer; Oezer, Oezalp
作者单位：McGill University; University of Texas System; University of Texas Dallas
摘要：This paper investigates a capacity planning strategy that collects commitments to purchase before the capacity decision and uses the acquired advance sales information to decide on the capacity. In particular, we study a profit-maximization model in which a manufacturer collects advance sales information periodically prior to the regular sales season for a capacity decision. Customer demand is stochastic and price sensitive. Once the capacity is set, the manufacturer produces and satisfies cus...
