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作者：Huh, Woonghee Tim; Janakiraman, Ganesh; Nagarajan, Mahesh
作者单位：University of British Columbia; University of Texas System; University of Texas Dallas
摘要：An important problem in the theory of dynamic programming is that of characterizing sufficient conditions under which the optimal policies for Markov decision processes (MDPs) under the infinite-horizon discounted cost criterion converge to an optimal policy under the average cost criterion as the discount factor approaches 1. In this paper, we provide, for stochastic inventory models, a set of such sufficient conditions. These conditions, unlike many others in the dynamic programming literatu...
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作者：Amaldi, Edoardo; Bosio, Sandro; Malucelli, Federico; Yuan, Di
作者单位：Polytechnic University of Milan; Swiss Federal Institutes of Technology Domain; ETH Zurich; Linkoping University
摘要：Wireless local area networks (WLANs) are widely used for cable replacement and wireless Internet access. Because the medium access control (MAC) scheme of WLANs has a strong influence on network performance, it should be accounted for in WLAN design. This paper presents AP location models that optimize a network performance measure specifically for the MAC scheme of WLANs that represents the efficiency in sharing the wireless medium. For these models, we propose a solution framework based on a...
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作者：Ryzhov, Ilya O.; Powell, Warren B.
作者单位：Princeton University
摘要：We derive a knowledge gradient policy for an optimal learning problem on a graph, in which we use sequential measurements to refine Bayesian estimates of individual edge values in order to learn about the best path. This problem differs from traditional ranking and selection in that the implementation decision (the path we choose) is distinct from the measurement decision (the edge we measure). Our decision rule is easy to compute and performs competitively against other learning policies, inc...
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作者：Chen, Binyuan; Kuecuekyavuz, Simge; Sen, Suvrajeet
作者单位：University of Arizona; University System of Ohio; Ohio State University
摘要：In this paper, we give a finite disjunctive programming procedure to obtain the convex hull of general mixed-integer linear programs (MILP) with bounded integer variables. We propose a finitely convergent convex hull tree algorithm that constructs a linear program that has the same optimal solution as the associated MILP. In addition, we combine the standard notion of sequential cutting planes with ideas underlying the convex hull tree algorithm to help guide the choice of disjunctions to use ...
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作者：Ilhan, Taylan; Iravani, Seyed M. R.; Daskin, Mark S.
作者单位：Northwestern University; University of Michigan System; University of Michigan
摘要：Given a set of items with associated deterministic weights and random rewards, the adaptive stochastic knapsack problem (adaptive SKP) maximizes the probability of reaching a predetermined target reward level when items are inserted sequentially into a capacitated knapsack before the reward of each item is realized. This model arises in resource allocation problems that permit or require sequential allocation decisions in a probabilistic setting. One particular application is in obsolescence i...
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作者：Chen, Jie; Jackson, Peter L.; Muckstadt, John A.
作者单位：Cornell University
摘要：We investigate the (S - 1, S) inventory policy under stuttering Poisson demand and generally distributed lead time when the excess demand is lost. We correct results presented in Feeney and Sherbrooke's seminal paper [Feeney, G. J., C. C. Sherbrooke. 1966. The (S - 1, S) inventory policy under compound Poisson demand. Management Sci. 12(5) 391-411] and note that the stationary distribution of units on order for the general compound Poisson demand case is still an open question.
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作者：Jiang, Houyuan; Netessine, Serguei; Savin, Sergei
作者单位：University of Cambridge; INSEAD Business School; University of Pennsylvania
摘要：We generalize analysis of competition among newsvendors to a setting in which competitors possess asymmetric information about future demand realizations, and this information is limited to knowledge of the support of demand distribution. In such a setting, traditional expectation-based optimization criteria are not adequate, and therefore we focus on the alternative criterion used in the robust optimization literature: the absolute regret minimization. We show existence and derive closed-form...
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作者：Giesecke, Kay; Kim, Baeho
作者单位：Stanford University; Korea University
摘要：Collateralized debt obligations, which are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stochastic methods to measure the risk of positions in collateralized debt obligations and related instruments ...
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作者：Balasundaram, Balabhaskar; Butenko, Sergiy; Hicks, Illya V.
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; Texas A&M University System; Texas A&M University College Station; Rice University
摘要：This paper introduces and studies the maximum k-plex problem, which arises in social network analysis and has wider applicability in several important areas employing graph-based data mining. After establishing NP-completeness of the decision version of the problem on arbitrary graphs, an integer programming formulation is presented, followed by a polyhedral study to identify combinatorial valid inequalities and facets. A branch-and-cut algorithm is implemented and tested on proposed benchmark...
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作者：Adida, Elodie; DeMiguel, Victor
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of London; London Business School
摘要：We study competition in a supply chain where multiple manufacturers compete in quantities to supply a set of products to multiple risk-averse retailers who compete in quantities to satisfy the uncertain consumer demand. For the symmetric supply chain, we give closed-form expressions for the unique equilibrium. We find that, provided there is a sufficiently large number of manufacturers and retailers, the supply chain efficiency (the ratio of the aggregate utility in the decentralized and centr...
