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作者：Dong, Hui; Nakayama, Marvin K.
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; New Jersey Institute of Technology
摘要：Quantiles are often used to measure risk of stochastic systems. We examine quantile estimators obtained using simulation with Latin hypercube sampling (LHS), a variance-reduction technique that efficiently extends stratified sampling to higher dimensions and produces negatively correlated outputs. We consider single-sample LHS (ssLHS), which minimizes the variance that can be obtained from LHS, and also replicated LHS (rLHS). We develop a consistent estimator of the asymptotic variance of the ...
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作者：Li, Na; Stanford, David A.; Taylor, Peter; Ziedins, Ilze
作者单位：Western University (University of Western Ontario); McMaster University; University of Melbourne; University of Auckland
摘要：In 1964, Kleinrock proposed a queueing discipline for a single-server queue in which customers from different classes accumulate priority as linear functions of their waiting time. At the instant that a server becomes free, it selects the waiting customer with the highest accumulated priority, provided that the queue is nonempty. He developed a recursion for calculating the expected waiting time for each class. In 2014, Stanford, Taylor, and Ziedins reconsidered this queue, which they termed t...
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作者：Anderson, Ross; Ashlagi, Itai; Gamarnik, David; Kanoria, Yash
作者单位：Alphabet Inc.; Google Incorporated; Stanford University; Massachusetts Institute of Technology (MIT); Columbia University
摘要：We study dynamic matching policies in a stochastic marketplace for barter, with agents arriving over time. Each agent is endowed with an item and is interested in an item possessed by another agent homogeneously with probability p, independently for all pairs of agents. Three settings are considered with respect to the types of allowed exchanges: (a) only two-way cycles, in which two agents swap Items, (b) two-way or three-way cycles, (c) (unbounded) chains initiated by an agent who provides a...
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作者：Dassios, Angelos; Zhao, Hongbiao
作者单位：University of London; London School Economics & Political Science; Shanghai University of Finance & Economics
摘要：We Introduce a broad family of generalised self-exciting point processes with CIR-type intensities, and we develop associated algorithms for their exact simulation. The underlying models are extensions of the classical Hawkes process, which already has numerous applications in modelling the arrival of events with clustering or contagion effect in finance, economics, and many other fields. Interestingly, we find that the CIR-type intensity, together with its point process, can be sequentially d...
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作者：Feng, Guiyun; Li, Xiaobo; Wang, Zizhuo
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper, we study the relationship between several well known classes of discrete choice models, i.e., the random utility model (RUM), the representative agent model (RAM), and the semiparametric choice model (SCM). Using a welfare-based model as an intermediate, we show that the RAM and the SCM are equivalent. Furthermore, we show that both models as well as the welfare-based model strictly subsume the RUM when there are three or more alternatives, while the four are equivalent when the...
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作者：Shang, Yan; Dunson, David; Song, Jing-Sheng
作者单位：Facebook Inc; Duke University; Duke University
摘要：In cargo logistics, a key performance measure is transport risk, defined as the deviation of the actual arrival time from the planned arrival time. Neither earliness nor tardiness is desirable for customer and freight forwarders. In this paper, we investigate ways to assess and forecast transport risks using a half-year of air cargo data, provided by a leading forwarder on 1,336 routes served by 20 airlines. Interestingly, our preliminary data analysis shows a strong multimodal feature in the ...
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作者：Adler, Ilan; Cao, Yang; Karp, Richard; Pekoz, Erol A.; Ross, Sheldon M.
作者单位：University of California System; University of California Berkeley; University of Southern California; University of California System; University of California Berkeley; Boston University
摘要：We consider a random knockout tournament among players 1,...,n, in which each match involves two players. The match format is specified by the number of matches played in each round, where the constitution of the matches in a round is random. Supposing that there are numbers v(1),...,v(n) such that a match between i and j will be won by i with probability v(i)/(v(i) + v(j)), we obtain a lower bound on the tournament win probability for the best player, as well as upper and lower bounds for all...
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作者：Jiang, Ruiwei; Shen, Siqian; Zhang, Yiling
作者单位：University of Michigan System; University of Michigan
摘要：We consider a single-server scheduling problem given a fixed sequence of appointment arrivals with random no-shows and service durations. The probability distribution of the uncertain parameters is assumed to be ambiguous, and only the support and first moments are known. We formulate a class of distributionally robust (DR) optimization models that incorporate the worst-case expectation/conditional value-at-risk penalty cost of appointment waiting, server idleness, and overtime into the object...
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作者：Lam, Henry; Mottet, Clementine
作者单位：Columbia University; Boston University
摘要：A common bottleneck in evaluating extremal performance measures is that, because of their very nature, tail data are often very limited. The conventional approach selects the best probability distribution from tail data using parametric fitting, but the validity of the parametric choice can be difficult to verify. This paper describes an alternative based on the computation of worst-case bounds under the geometric premise of tail convexity, a feature shared by all common parametric tail distri...
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作者：Cheung, Wang Chi; Simchi-Levi, David; Wang, He
作者单位：Agency for Science Technology & Research (A*STAR); A*STAR - Institute of High Performance Computing (IHPC); Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology
摘要：In a dynamic pricing problem where the demand function is not known a priori, price experimentation can be used as a demand learning tool. Existing literature usually assumes no constraint on price changes, but in practice, sellers often face business constraints that prevent them from conducting extensive experimentation. We consider a dynamic pricing model where the demand function is unknown but belongs to a known finite set. The seller is allowed to make at most m price changes during T pe...
