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作者：Koole, Ger; Pot, Auke
作者单位：Vrije Universiteit Amsterdam
摘要：We consider an inbound call center with a fixed reward per call and communication and agent costs. By controlling the number of lines and the number of agents, we can maximize the profit. Abandonments are included in our performance model. Monotonicity results for the maximization problem are obtained, which lead to an efficient optimization procedure. We give a counterexample to the concavity in the number of agents, which is equivalent to saying that the law of diminishing returns does not h...
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作者：Alpern, Steve; Morton, Alec; Papadaki, Katerina
作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
摘要：A key operational problem for those charged with the security of vulnerable facilities (such as airports or art galleries) is the scheduling and deployment of patrols. Motivated by the problem of optimizing randomized, and thus unpredictable, patrols, we present a class of patrolling games. The facility to be patrolled can be thought of as a network or graph Q of interconnected nodes (e. g., rooms, terminals), and the Attacker can choose to attack any node of Q within a given time T. He requir...
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作者：Baldacci, Roberto; Mingozzi, Aristide; Roberti, Roberto
作者单位：University of Bologna; University of Bologna; University of Bologna
摘要：In this paper, we describe an effective exact method for solving both the capacitated vehicle routing problem (CVRP) and the vehicle routing problem with time windows (VRPTW) that improves the method proposed by Baldacci et al. [Baldacci, R., N. Christofides, A. Mingozzi. 2008. An exact algorithm for the vehicle routing problem based on the set partitioning formulation with additional cuts. Math. Programming 115(2) 351-385] for the CVRP. The proposed algorithm is based on the set partitioning ...
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作者：Baldacci, Roberto; Mingozzi, Aristide; Calvo, Roberto Wolfler
作者单位：University of Bologna; University of Bologna; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Information Sciences & Technologies (INS2I)
摘要：The capacitated location-routing problem (LRP) consists of opening one or more depots on a given set of a-priori defined depot locations, and designing, for each opened depot, a number of routes in order to supply the demands of a given set of customers. With each depot are associated a fixed cost for opening it and a capacity that limits the quantity that can be delivered to the customers. The objective is to minimize the sum of the fixed costs for opening the depots and the costs of the rout...
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作者：Wu, Yunan; Cheng, T. C. E.
作者单位：Beijing Foreign Studies University; Hong Kong Polytechnic University
摘要：We give examples to show that the necessary conditions of Theorem 2.1 and Theorem 3.4 in Cheng and Wu [Cheng, T. C. E., Y. N. Wu. 2006. A multiproduct, multicriterion supply-demand network equilibrium model. Oper. Res. 54(3) 544-554] for a multiproduct network equilibrium model may not hold.
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作者：Chockalingam, Arun; Muthuraman, Kumar
作者单位：Purdue University System; Purdue University; University of Texas System; University of Texas Austin
摘要：The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility changes. Option pricing methods that have been developed in literature for pricing under stochastic volatility focus mostly on European options. We consider the problem of pricing American options under ...
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作者：Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
摘要：We consider a particular instance of a stochastic multi-leader multi-follower equilibrium problem in which players compete in the forward and spot markets in successive periods. Proving the existence of such equilibria has proved difficult, as has the construction of globally convergent algorithms for obtaining such points. By conjecturing a relationship between forward and spot decisions, we consider a variant of the original game and relate the equilibria of this game to a related simultaneo...
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作者：Liu, Yunan; Whitt, Ward
作者单位：Columbia University
摘要：To describe the congestion in large-scale service systems, we introduce and analyze a non-Markovian open network of many-server fluid queues with customer abandonment, proportional routing, and time-varying model elements. Proportions of the fluid completing service from each queue are immediately routed to the other queues, with the fluid not routed to one of the queues being immediately routed out of the network. The fluid queue network serves as an approximation for the corresponding non-Ma...
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作者：Chen, Li; He, Simai; Zhang, Shuzhong
作者单位：Chinese University of Hong Kong; City University of Hong Kong; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper we develop tight bounds on the expected values of several risk measures that are of interest to us. This work is motivated by the robust optimization models arising from portfolio selection problems. Indeed, the whole paper is centered around robust portfolio models and solutions. The basic setting is to find a portfolio that maximizes (respectively, minimizes) the expected utility (respectively, disutility) values in the midst of infinitely many possible ambiguous distributions ...
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作者：Parker, Rodney P.; Kapuscinski, Roman
作者单位：University of Chicago; University of Michigan System; University of Michigan
摘要：We consider a two-stage serial supply chain with capacity limits, where each installation is operated by managers attempting to minimize their own costs. A multiple-period model is necessitated by the multiple stages, capacity limits, stochastic demand, and the explicit consideration of inventories. With appropriate salvage value functions, a Markov equilibrium policy is found. Intuitive profit dominance allows for existence of a unique equilibrium solution, which is shown to be a modified ech...
