-
作者：Borkovsky, Ron N.; Doraszelski, Ulrich; Kryukov, Yaroslav
作者单位：University of Toronto; Harvard University; Carnegie Mellon University
摘要：This paper provides a step-by-step guide to solving dynamic stochastic games using the homotopy method. The homotopy method facilitates exploring the equilibrium correspondence in a systematic fashion; it is especially useful in games that have multiple equilibria. We discuss the theory of the homotopy method and its implementation and present two detailed examples of dynamic stochastic games that are solved using this method.
-
作者：Dogru, Mustafa K.; Reiman, Martin I.; Wang, Qiong
作者单位：Alcatel-Lucent; Alcatel-Lucent
摘要：We consider assemble-to-order inventory systems with identical component lead times. We use a stochastic program (SP) to develop an inventory strategy that allows preferential component allocation for minimizing total inventory cost. We prove that the solution of a relaxation of this SP provides a lower bound on total inventory cost for all feasible policies. We demonstrate and test our approach on the W system, which involves three components used to produce two products. (There are two uniqu...
-
作者：Huh, Woonghee Tim; Janakiraman, Ganesh; Nagarajan, Mahesh
作者单位：University of British Columbia; University of Texas System; University of Texas Dallas
摘要：We study a periodically reviewed multiechelon serial inventory system with a capacity constraint on the order quantity at every stage. Under echelon base-stock policies, we demonstrate a simple sample-path result that maps the echelon shortfalls in the serial system to the shortfalls of suitably defined single-stage systems. Because the shortfall processes of single-stage systems are well understood, our result allows us to reinterpret results in the literature on the stability and regeneratio...
-
作者：Nikolaev, Alexander G.; Jacobson, Sheldon H.
作者单位：Northwestern University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper addresses a class of problems in which available resources need to be optimally allocated to a random number of jobs with stochastic parameters. Optimal policies are presented for variations of the sequential stochastic assignment problem and the dynamic stochastic knapsack problem, in which the number of arriving jobs is unknown until after the final arrival, and the job parameters are assumed to be independent but not identically distributed random variables.
-
作者：Su, Xuanming
作者单位：University of California System; University of California Berkeley
摘要：We study a dynamic pricing problem for a class of products with stable consumption patterns (e. g., household items, staple foods). Consumers may stock up the product at current prices for future consumption, but they incur inventory holding costs. We model this situation as a dynamic game over an infinite time horizon: in each period, the seller sets a price, and each consumer chooses how many units to buy. We develop a solution methodology based on rational expectations. By endowing each pla...
-
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...
-
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.
-
作者：Chod, Jiri; Pyke, David; Rudi, Nils
作者单位：Boston College; University of San Diego; INSEAD Business School
摘要：We consider a manufacturer of mass-customized modular products who orders components under demand uncertainty, and sets prices, produces to order, and trades excess components in a secondary market after this uncertainty is resolved. The sequence of events reflects, in a parsimonious fashion, the considerable reduction in demand uncertainty between the procurement stage and the selling season, typical of industries with long supply lead times and short product life cycles. We prove that, in co...
-
作者：Cominetti, Roberto; Correa, Jose R.; Rothvoss, Thomas; San Martin, Jaime
作者单位：Universidad de Chile; Universidad de Chile; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Universidad de Chile
摘要：We analyze a short-term revenue optimization problem involving the targeting of customers for a promotion in which a finite number of perishable items are sold on a last-minute offer. The goal is to select the subset of customers to whom the offer will be made available in order to maximize the expected return. Each client replies with a certain probability and reports a specific value that might depend on the customer type, so that the selected subset has to balance the risk of not selling al...
-
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...
