-
作者：Kim, Sunkyo
作者单位：Ajou University
摘要：In two-moment decomposition approximations of queueing networks, the arrival process is modeled as a renewal process, and each station is approximated as a GI/G/1 queue whose mean waiting time is approximated based on the first two moments of the interarrival times and the service times. The departure process is also approximated as a renewal process even though the autocorrelation of this process may significantly affect the performance of the subsequent queue depending on the traffic intensi...
-
作者：Zhou, Sean X.; Yu, Yikun
作者单位：Chinese University of Hong Kong
摘要：Acquisition of used products ( cores) is central to the success of remanufacturing programs for companies. At the same time, dynamic pricing strategies have been adopted in various industries to better balance supply and customer demand. In this paper, we study the integration of these two aspects of operations together with inventory management for a production/remanufacturing firm. We develop a periodic-review single-product inventory system with price-dependent customer demand. The product ...
-
作者：Turner, John; Scheller-Wolf, Alan; Tayur, Sridhar
作者单位：University of California System; University of California Irvine; Carnegie Mellon University
摘要：Dynamic in-game advertising is a new form of advertising in which ads are served to video game consoles in real time over the Internet. We present a model for the in-game ad-scheduling problem faced by Massive Inc., a wholly owned subsidiary of Microsoft, and a leading global network provider of in-game ad space. Our model has two components: (1) a linear program (solved periodically) establishes target service rates, and (2) a real-time packing heuristic (run whenever a player enters a new le...
-
作者：Bertsimas, Dimitris; Farias, Vivek F.; Trichakis, Nikolaos
作者单位：Massachusetts Institute of Technology (MIT)
摘要：In this paper we study resource allocation problems that involve multiple self-interested parties or players and a central decision maker. We introduce and study the price of fairness, which is the relative system efficiency loss under a fair allocation assuming that a fully efficient allocation is one that maximizes the sum of player utilities. We focus on two well-accepted, axiomatically justified notions of fairness, viz., proportional fairness and max-min fairness. For these notions we pro...
-
作者：Armony, Mor; Mandelbaum, Avishai
作者单位：New York University; Technion Israel Institute of Technology
摘要：Motivated by call centers, we study large-scale service systems with homogeneous impatient customers and heterogeneous servers; the servers differ with respect to their speed of service. For this model, we propose staffing and routing rules that are jointly asymptotically optimal in the heavy-traffic many-server QED, ED, and ED + QED regimes, respectively. For the QED regime, our proposed routing rule is FSF, that assigns customers to the fastest server available first. In the ED and ED + QED ...
-
作者：Besbes, Omar; Zeevi, Assaf
作者单位：Columbia University
摘要：We consider a pricing problem in an environment where the customers' willingness-to-pay (WtP) distribution may change at some point over the selling horizon. Customers arrive sequentially and make purchase decisions based on a quoted price and their private reservation price. The seller knows the WtP distribution pre- and postchange but does not know the time at which this change occurs. The performance of a pricing policy is measured in terms of regret: the loss in revenues relative to an ora...
-
作者：Wang, Xiaoqun; Sloan, Ian H.
作者单位：Tsinghua University; University of New South Wales Sydney; Hong Kong Polytechnic University
摘要：Quasi-Monte Carlo (QMC) methods are playing an increasingly important role in the pricing of complex financial derivatives. For models in which the prices of the underlying assets are driven by Brownian motions, the performance of QMC methods is known to depend crucially on the construction of Brownian motions. This paper focuses on the impact of various constructions. Although the Brownian bridge (BB) construction often yields very good results, as Papageorgiou pointed out, there are financia...
-
作者：Liu, Guangwu; Hong, L. Jeff
作者单位：City University of Hong Kong; Hong Kong University of Science & Technology
摘要：The Greeks are the derivatives (also known as sensitivities) of the option prices with respect to market parameters. They play an important role in financial risk management. Among many Monte Carlo methods of estimating the Greeks, the classical pathwise method requires only the pathwise information that is directly observable from simulation and is generally easier to implement than many other methods. However, the classical pathwise method is generally not applicable to the Greeks of options...
-
作者：Berling, Peter; Martinez-de-Albeniz, Victor
作者单位：Lund University; University of Navarra; IESE Business School
摘要：In this paper we consider the problem of a firm that faces a stochastic (Poisson) demand and must replenish from a market in which prices fluctuate, such as a commodity market. We describe the price evolution as a continuous stochastic process and we focus on commonly used processes suggested by the financial literature, such as the geometric Brownian motion and the Ornstein-Uhlenbeck process. It is well known that under variable purchase price, a price-dependent base-stock policy is optimal. ...
-
作者：Miller, Naomi; Ruszczynski, Andrzej
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick
摘要：We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures. We analyze properties of the problem and derive necessary and sufficient optimality conditions. Next, we construct a new decomposition method for solving the problem that exploits the composite structure of the objective function. We illustrate its performance on a portfolio...
