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作者：Stonebraker, Jeffrey S.
作者单位：North Carolina State University
摘要：We present an application of decision analysis to global production capacity expansion under uncertainty for Bayer Group's proposed new biotechnology drug to treat hemophilia A. This decision analysis developed an improved approach to Bayer's decision for product-generation transition and global production capacity expansion that more realistically addresses potential regional supply shortages and overages due to demand and supply uncertainties that can result in supply-demand imbalances. With...
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作者：Long, Jiancheng; Huang, Hai-Jun; Gao, Ziyou; Szeto, W. Y.
作者单位：Hefei University of Technology; Beihang University; Beijing Jiaotong University; University of Hong Kong
摘要：In this paper a novel variational inequality (VI) formulation of the dynamic user optimal (DUO) route choice problem is proposed using the concept of approach proportion. An approach proportion represents the proportion of travelers that select a turning or through movement when leaving a node. Approach proportions contain travelers' route information so that the realistic effects of physical queues can be captured in a formulation when a physical-queue traffic flow model is adopted, and so th...
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作者：Bertsimas, Dimitris; Nasrabadi, Ebrahim; Stiller, Sebastian
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Technical University of Berlin
摘要：We study network flow problems in an uncertain environment from the viewpoint of robust optimization. In contrast to previous work, we consider the case that the network parameters (e.g., capacities) are known and deterministic, but the network structure (e.g., nodes and arcs) is subject to uncertainty. In this paper, we study the robust and adaptive versions of the maximum flow problem and minimum cut problems in networks with node and arc failures, and establish structural and computational ...
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作者：Rustogi, Kabir; Strusevich, Vitaly A.
作者单位：University of Greenwich
摘要：We consider the classical scheduling problems of processing jobs on identical parallel machines to minimize (i) the makespan (the maximum completion time) or (ii) the total flow time (the sum of the completion times). The focus of this study is on the impact that additional machines may have, if added to the system. We measure such a machine impact by the ratio of the value of the objective function computed with the original number of machines to the one computed with extra machines. We give ...
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作者：Thompson, Matt
作者单位：Queens University - Canada
摘要：This paper presents a methodology for the valuation, optimization, market, margin and credit risk management of gas-fired power plants and associated tolling contracts. Term structure models for the power and gas forward curves are employed to facilitate hedging and risk adjustment and for improved forecasting of short-term prices. The model for the power forward curve is capable of reproducing the important phenomena often observed in power markets, including spot price spikes and spike clust...
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作者：Loehndorf, Nils; Wozabal, David; Minner, Stefan
作者单位：Vienna University of Economics & Business; Technical University of Munich
摘要：We propose a new approach to optimize operations of hydro storage systems with multiple connected reservoirs whose operators participate in wholesale electricity markets. Our formulation integrates short-term intraday with long-term interday decisions. The intraday problem considers bidding decisions as well as storage operation during the day and is formulated as a stochastic program. The interday problem is modeled as a Markov decision process of managing storage operation over time, for whi...
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作者：Abhishek, Vibhanshu; Hosanagar, Kartik
作者单位：Carnegie Mellon University; University of Pennsylvania
摘要：We study optimal bidding strategies for advertisers in sponsored search auctions. In general, these auctions are run as variants of second-price auctions but have been shown to be incentive incompatible. Thus, advertisers have to be strategic about bidding. Uncertainty in the decision-making environment, budget constraints, and the presence of a large portfolio of keywords makes the bid optimization problem nontrivial. We present an analytical model to compute the optimal bids for keywords in ...
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作者：Glasserman, Paul; Xu, Xingbo
作者单位：Columbia University; Columbia University
摘要：Portfolio selection is vulnerable to the error-amplifying effects of combining optimization with statistical estimation and model error. For dynamic portfolio control, sources of model error include the evolution of market factors and the influence of these factors on asset returns. We develop portfolio control rules that are robust to this type of uncertainty, applying a stochastic notion of robustness to uncertainty in model dynamics. In this stochastic formulation, robustness reflects uncer...
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作者：Giesecke, Kay; Smelov, Dmitry
作者单位：Stanford University
摘要：This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C-1, the volatility function to be C-2, and the jump intensity function to be locally bounded. No further structure is imposed on these functions. The method leads to unbiased simulation estimators of security prices, transition densities,...
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作者：Gong, Xiting; Zhou, Sean X.
作者单位：Chinese University of Hong Kong; Chinese University of Hong Kong
摘要：Emissions trading is a market-based mechanism for curbing emissions, and it has been implemented in Europe, North America, and several other parts of the world. To study its impact on production planning, we develop a dynamic production model, where a manufacturer produces a single product to satisfy random market demands. The manufacturer has access to both a green and a regular production technology, of which the former is more costly but yields fewer emissions. To comply with the emissions ...
