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作者：Wang, Yongqiang; Fu, Michael C.; Marcus, Steven I.
作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
摘要：Motivated by infinitesimal perturbation analysis (IPA) and the likelihood ratio (LR) method, we derive a new unbiased stochastic derivative estimator for a class of discontinuous payoff functions that arise in many options pricing settings from finance. Our method includes IPA and the LR method as special cases and can be applied to functions of more general forms containing indicator functions. This new estimator can be computed from a single sample path or simulation, whereas existing estima...
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作者：Zhang, Bo; van Leeuwaarden, Johan S. H.; Zwart, Bert
作者单位：International Business Machines (IBM); IBM USA; Eindhoven University of Technology; Centrum Wiskunde & Informatica (CWI)
摘要：In call centers it is crucial to staff the right number of agents so that the targeted service levels are met. These staffing problems typically lead to constraint satisfaction problems that are hard to solve. During the last decade, a beautiful many-server asymptotic theory has been developed to solve such problems for large call centers, and optimal staffing rules are known to obey the square-root staffing principle. This paper presents refinements to many-server asymptotics and this staffin...
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作者：Adan, Ivo; Weiss, Gideon
作者单位：Eindhoven University of Technology; University of Haifa
摘要：Motivated by queues with multitype servers and multitype customers, we consider an infinite sequence of items of types C = {c(1),... c(I)}, and another infinite sequence of items of types J = {s(I),... s(J)}, and a bipartite graph G of allowable matches between the types. We assume that the types of items in the two sequences are independent and identically distributed (i.i.d.) with given probability vectors alpha, beta. Matching the two sequences on a first-come, first-served basis defines a ...
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作者：Atar, Rami
作者单位：Technion Israel Institute of Technology
摘要：We study a diffusion regime-earlier considered by Gurvich, Mandelbaum, Shaikhet, and Whitt in the case of the M/M/N queue which may be regarded in a sense that we make precise, as a midpoint between two well-known heavy traffic diffusion regimes, the conventional and the quality and efficiency driven regimes. Unlike the other two, this regime, which we call the nondegenerate slowdown regime, enjoys the property that delay and service time are of the same order of magnitude, a property that is ...
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作者：Molyboha, Anton; Zabarankin, Michael
作者单位：Stevens Institute of Technology
摘要：A comprehensive framework for diver detection by a hydrophone network in an urban harbor is presented. It includes a signal processing algorithm and a diver detection test and formulates optimal hydrophone placement as a two-stage stochastic optimization problem with respect to different scenarios of underwater noise. The signal processing algorithm identifies sound intensity peaks associated with diver breathing and outputs a diver number measuring the likelihood of diver presence, whereas th...
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作者：Michel, S.; Vanderbeck, F.
作者单位：Universite de Bordeaux
摘要：Inventory routing problems combine the optimization of product deliveries (or pickups) with inventory control at customer sites. The application that motivates this paper concerns the planning of single-product pickups over time; each site accumulates stock at a deterministic rate; the stock is emptied on each visit. At the tactical planning stage considered here, the objective is to minimize a surrogate measure of routing cost while achieving some form of regional clustering by partitioning t...
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作者：Turner, John
作者单位：University of California System; University of California Irvine
摘要：As targeted advertising becomes prevalent in a wide variety of media vehicles, planning models become increasingly important to ad networks that need to match ads to appropriate audience segments, provide a high quality of service (meet advertisers' goals), and ensure that ad serving opportunities are not wasted. We define Guaranteed Targeted Display Advertising (GTDA) as a class of media vehicles that include webpage banner ads, video games, electronic outdoor billboards, and the next generat...
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作者：Babonneau, Frederic; Nesterov, Yurii; Vial, Jean-Philippe
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Universite Catholique Louvain
摘要：Problems dealing with the design and operations of gas transmission networks are challenging. The standard approaches lead to a difficult nonlinear nonconvex optimization problem. To get around this difficulty, we use a minimum energy principle to define stationary flows in the network. This solution minimizes the total energy dissipated in the system. We extend the minimization process to the choice of suitable diameters on the reinforcing arcs and add a constraint that limits the monetary co...
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作者：Golany, Boaz; Kress, Moshe; Penn, Michal; Rothblum, Uriel G.
作者单位：Technion Israel Institute of Technology; United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：A military arms race is characterized by an iterative development of measures and countermeasures. An attacker attempts to introduce new weapons in order to gain some advantage, whereas a defender attempts to develop countermeasures that can mitigate or even eliminate the effects of the weapons. This paper addresses the defender's decision problem: given limited resources, which countermeasures should be developed and how much should be invested in their development to minimize the damage caus...
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作者：Cai, Ning; Kou, Steven
作者单位：Hong Kong University of Science & Technology; Columbia University
摘要：We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model. Similar results were available previously only in the special case of the Black-Scholes model (BSM). Even in the case of the BSM, our approach is simpler as we essentially use only Ito's formula and do not need more advanced results such as those of Bessel processes and Lamperti's representation. As a by-product we also show that a well-known recursion relating t...
