Operations Research

最新文章

• Dynamic Pricing of Limited Inventories When Customers Negotiate AI翻译
  作者：Kuo, Chia-Wei; Ahn, Hyun-Soo; Aydin, Goeker
  作者单位：National Taiwan University; University of Michigan System; University of Michigan; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
  摘要：Although take-it-or-leave-it pricing is the main mode of operation for many retailers, a number of retailers discreetly allow price negotiation when some haggle-prone customers ask for a bargain. At these retailers, the posted price, which itself is subject to dynamic adjustments in response to the pace of sales during the selling season, serves two important roles: (i) it is the take-it-or-leave-it price to many customers who do not bargain, and (ii) it is the price from which haggle-prone cu...
• Robust Optimization Made Easy with ROME AI翻译
  作者：Goh, Joel; Sim, Melvyn
  作者单位：National University of Singapore; National University of Singapore
  摘要：We introduce ROME, an algebraic modeling toolbox for a class of robust optimization problems. ROME serves as an intermediate layer between the modeler and optimization solver engines, allowing modelers to express robust optimization problems in a mathematically meaningful way. In this paper, we discuss how ROME can be used to model (1) a service-constrained robust inventory management problem, (2) a project-crashing problem, and (3) a robust portfolio optimization problem. Through these modeli...
• Multiple Variable Proportionality in Data Envelopment Analysis AI翻译
  作者：Cook, Wade D.; Zhu, Joe
  作者单位：York University - Canada; Worcester Polytechnic Institute
  摘要：Data envelopment analysis (DEA) provides an optimization methodology for deriving an efficiency score for each member of a set of peer decision-making units. Under the original DEA model it was assumed that there is constant returns to scale (CRS). This idea was later extended to the more general case that allowed for variable returns to scale (VRS). In both of these structures, it is assumed that the returns to scale (RTS) classification, consistent with the classical definition, applies to t...
• Little's Law as Viewed on Its 50th Anniversary AI翻译
  作者：Little, John D. C.
  作者单位：Massachusetts Institute of Technology (MIT)
  摘要：Fifty years ago, the author published a paper in Operations Research with the title, A proof for the queuing formula: L = lambda W [Little, J. D. C. 1961. A proof for the queuing formula: L = lambda W. Oper. Res. 9(3) 383-387]. Over the years, L = lambda W has become widely known as Little's Law. Basically, it is a theorem in queuing theory. It has become well known because of its theoretical and practical importance. We report key developments in both areas with the emphasis on practice. In t...
• A Unified Framework for Dynamic Prediction Market Design AI翻译
  作者：Agrawal, Shipra; Delage, Erick; Peters, Mark; Wang, Zizhuo; Ye, Yinyu
  作者单位：Stanford University; Universite de Montreal; HEC Montreal; Stanford University
  摘要：Recently, coinciding with and perhaps driving the increased popularity of prediction markets, several novel pari-mutuel mechanisms have been developed such as the logarithmic market-scoring rule (LMSR), the cost-function formulation of market makers, utility-based markets, and the sequential convex pari-mutuel mechanism (SCPM). In this work, we present a convex optimization framework that unifies these seemingly unrelated models for centrally organizing contingent claims markets. The existing ...
• A Geometric Perspective on Lifting AI翻译
  作者：Conforti, Michele; Cornuejols, Gerard; Zambelli, Giacomo
  作者单位：University of Padua; Carnegie Mellon University; University of London; London School Economics & Political Science
  摘要：Recently it has been shown that minimal inequalities for a continuous relaxation of mixed-integer linear programs are associated with maximal lattice-free convex sets. In this paper, we show how to lift these inequalities for integral nonbasic variables by considering maximal lattice-free convex sets in a higher dimensional space. We apply this approach to several examples. In particular, we identify cases in which the lifting is unique.
• Sourcing Flexibility, Spot Trading, and Procurement Contract Structure AI翻译
  作者：Pei, Pamela Pen-Erh; Simchi-Levi, David; Tunca, Tunay I.
  作者单位：United Biosource Corporation; Massachusetts Institute of Technology (MIT); Stanford University
  摘要：We analyze the structure and pricing of option contracts for an industrial good in the presence of spot trading. We combine the analysis of spot trading and buyers' disparate private valuations for different suppliers' products, and we jointly endogenize the determination of three major dimensions in contract design: (i) sales contracts versus options contracts, (ii) flat-price versus volume-dependent contracts, and (iii) volume discounts versus volume premia. We build a model in which a suppl...
• Valuation of Storage at a Liquefied Natural Gas Terminal AI翻译
  作者：Lai, Guoming; Wang, Mulan X.; Kekre, Sunder; Scheller-Wolf, Alan; Secomandi, Nicola
  作者单位：University of Texas System; University of Texas Austin; Carnegie Mellon University
  摘要：The valuation of the real option to store liquefied natural gas (LNG) at the downstream terminal of an LNG value chain is an important problem in practice. Because the exact valuation of this real option is computationally intractable, we develop a novel and tractable heuristic model for its strategic valuation that integrates models of LNG shipping, natural gas price evolution, and inventory control and sale into the wholesale natural gas market. We incorporate real and estimated data to quan...
• Selecting Optimal Alternatives and Risk Reduction Strategies in Decision Trees AI翻译
  作者：Sherali, Hanif D.; Dalkiran, Evrim; Glickman, Theodore S.
  作者单位：Virginia Polytechnic Institute & State University; George Washington University
  摘要：In this paper we conduct a quantitative analysis for a strategic risk management problem that involves allocating certain available failure-mitigating and consequence-alleviating resources to reduce the failure probabilities of system safety components and subsequent losses, respectively, together with selecting optimal strategic decision alternatives, to minimize the risk or expected loss in the event of a hazardous occurrence. Using a novel decision tree optimization approach to represent th...
• Heavy-Traffic Analysis of a Multiple-Phase Network with Discriminatory Processor Sharing AI翻译
  作者：Verloop, I. M.; Ayesta, U.; Nunez-Queija, R.
  作者单位：Basque Center for Applied Mathematics (BCAM); Centrum Wiskunde & Informatica (CWI); Basque Foundation for Science; University of Amsterdam
  摘要：We analyze a generalization of the discriminatory processor-sharing (DPS) queue in a heavy-traffic setting. Customers present in the system are served simultaneously at rates controlled by a vector of weights. We assume that customers have phase-type distributed service requirements and allow that customers have different weights in various phases of their service. In our main result we establish a state-space collapse for the queue-length vector in heavy traffic. The result shows that in the ...