Operations Research

最新文章

• Optimal Sparse Designs for Process Flexibility via Probabilistic Expanders AI翻译
  作者：Chen, Xi; Zhang, Jiawei; Zhou, Yuan
  作者单位：New York University; New York University; New York University; NYU Shanghai; Massachusetts Institute of Technology (MIT)
  摘要：We study the problem of how to design a sparse flexible process structure in a balanced and symmetrical production system to match supply with random demand more effectively. Our goal is to provide a sparsest design to achieve (1 - epsilon)-optimality relative to the fully flexible system. In a balanced system with n plants and n products, Chou et al. (2011) proved that there exists a graph expander with Omicron(n/epsilon) arcs to achieve (1 - epsilon)-optimality for every demand realization. ...
• Penalty Function with Memory for Discrete Optimization via Simulation with Stochastic Constraints AI翻译
  作者：Park, Chuljin; Kim, Seong-Hee
  作者单位：Hanyang University; University System of Georgia; Georgia Institute of Technology
  摘要：We consider a discrete optimization via simulation (DOvS) problem with stochastic constraints on secondary performance measures in which both objective and secondary performance measures need to be estimated by stochastic simulation. To solve the problem, we develop a new method called the Penalty Function with Memory (PFM). It is similar to an existing penalty-type method-which consists of a penalty parameter and a measure of violation of constraints-in a sense that it converts a DOvS problem...
• Unbiased Estimation with Square Root Convergence for SDE Models AI翻译
  作者：Rhee, Chang-Han; Glynn, Peter W.
  作者单位：University System of Georgia; Georgia Institute of Technology; Stanford University
  摘要：In many settings in which Monte Carlo methods are applied, there may be no known algorithm for exactly generating the random object for which an expectation is to be computed. Frequently, however, one can generate arbitrarily close approximations to the random object. We introduce a simple randomization idea for creating unbiased estimators in such a setting based on a sequence of approximations. Applying this idea to computing expectations of path functionals associated with stochastic differ...
• On Dynamic Decision Making to Meet Consumption Targets AI翻译
  作者：Chen, Lucy Gongtao; Long, Daniel Zhuoyu; Sim, Melvyn
  作者单位：National University of Singapore; Chinese University of Hong Kong
  摘要：We investigate a dynamic decision model that facilitates a target-oriented decision maker in regulating her risky consumption based on her desired target consumption level in every period in a finite planning horizon. We focus on dynamic operational decision problems of a firm where risky cash flows are being resolved over time. The firm can finance consumption by borrowing or saving to attain prescribed consumption targets over time. To evaluate the ability of the consumption in meeting respe...
• Fully Sequential Procedures for Large-Scale Ranking-and-Selection Problems in Parallel Computing Environments AI翻译
  作者：Luo, Jun; Hong, L. Jeff; Nelson, Barry L.; Wu, Yang
  作者单位：Shanghai Jiao Tong University; City University of Hong Kong; City University of Hong Kong; Northwestern University
  摘要：Fully sequential ranking-and-selection (R&S) procedures to find the best from a finite set of simulated alternatives are often designed to be implemented on a single processor. However, parallel computing environments, such as multi-core personal computers and many-core servers, are becoming ubiquitous and easily accessible for ordinary users. In this paper, we propose two types of fully sequential procedures that can be used in parallel computing environments. We call them vector-filling proc...
• Necessity of Future Information in Admission Control AI翻译
  作者：Xu, Kuang
  作者单位：Stanford University
  摘要：We study the necessity of predictive information in a class of queueing admission control problems, where a system manager is allowed to divert incoming jobs up to a fixed rate, in order to minimize the queueing delay experienced by the admitted jobs. Spencer et al. (2014) [Spencer J, Sudan M, Xu K (2014) Queuing with future information. Ann. Appl. Probab. 24(5): 2091-2142.] show that the system's delay performance can be significantly improved by having access to future information in the for...
• Non-Stationary Stochastic Optimization AI翻译
  作者：Besbes, Omar; Gur, Yonatan; Zeevi, Assaf
  作者单位：Columbia University; Stanford University
  摘要：We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said change, and study how restrictions on this budget impact achievable performance. We identify sharp conditions under which it is possible to achieve long-run average optimality and more refined performance measures such as rate optimality that fully characterize t...
• Bundled Payments For Healthcare Services: Proposer Selection and Information Sharing AI翻译
  作者：Gupta, Diwakar; Mehrotra, Mili
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities
  摘要：The Centers for Medicare and Medicaid Services (CMS) has introduced a bundled payments for care improvement (BPCI) initiative. Each bundle pertains to a specific medical condition, a set of linked services, and a length of time referred to as an episode of care. Proposers choose bundles, design service chains, and propose target values of quality metrics and payments per episode. Expert panels evaluate proposals based on CMS-announced relative weights, but there is no limit on the number of pr...
• Dynamic Trading with Reference Point Adaptation and Loss Aversion AI翻译
  作者：Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan
  作者单位：Shanghai University; Shanghai University of Finance & Economics; Fudan University; Chinese University of Hong Kong
  摘要：We formalize the reference point adaptation process by relating it to a way people perceive prior gains and losses. We then develop a dynamic trading model with reference point adaptation and loss aversion, and derive its semi-analytical solution. The derived optimal stock holding has an asymmetric V-shaped form with respect to prior outcomes, and the related sensitivities are directly determined by the sensitivities of reference point shifts with respect to the outcomes. We also find that the...
• Capacity Constraints Across Nests in Assortment Optimization Under the Nested Logit Model AI翻译
  作者：Feldman, Jacob B.; Topaloglu, Huseyin
  作者单位：Cornell University
  摘要：We consider assortment optimization problems when customers choose according to the nested logit model and there is a capacity constraint limiting the total capacity consumption of all products offered in all nests. When each product consumes one unit of capacity, our capacity constraint limits the cardinality of the offered assortment. For the cardinality constrained case, we develop an efficient algorithm to compute the optimal assortment. When the capacity consumption of each product is arb...