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作者：Atar, Rami; Giat, Chanit; Shimkin, Nahum
作者单位：Technion Israel Institute of Technology
摘要：We consider a multiclass queueing system with multiple homogeneous servers and customer abandonment. For each customer class i, the holding cost per unit time, the service rate, and the abandonment rate are denoted by c(i), mu(i), and theta(i), respectively. We prove that under a many-server fluid scaling and overload conditions, a server-scheduling policy that assigns priority to classes according to their index c(i)mu(i)/theta(i) is asymptotically optimal for minimizing the overall long-run ...
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作者：Hora, Stephen C.
作者单位：University of Southern California; University of Southern California
摘要：It is shown how infinite sequences of densities with defined properties can be used to evaluate the expected performance of mathematical aggregation rules for elicited densities. The performance of these rules is measured through the average variance, calibration, and average Brier score of the aggregates. A general result for the calibration of the arithmetic average of densities from well-calibrated independent experts is given. Arithmetic and geometric aggregation rules are compared using s...
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作者：Fibich, Gadi; Gibori, Ro'i
作者单位：Tel Aviv University
摘要：We explicitly calculate the aggregate diffusion dynamics in one-dimensional agent-based models of adoption of new products, without using the mean-field approximation. We then introduce a clusters-dynamics approach, and use it to derive an analytic approximation of the aggregate diffusion dynamics in multidimensional agent-based models. The clusters-dynamics approximation shows that the aggregate diffusion dynamics does not depend on the average distance between individuals, but rather on the ...
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作者：Park, Chiwoo; Huang, Jianhua Z.; Ding, Yu
作者单位：Texas A&M University System; Texas A&M University College Station; Texas A&M University System; Texas A&M University College Station
摘要：A minimum volume set of a probability density is a region of minimum size among the regions covering a given probability mass of the density. Effective methods for finding the minimum volume sets are very useful for detecting failures or anomalies in commercial and security applications-a problem known as novelty detection. One theoretical approach of estimating the minimum volume set is to use a density level set where a kernel density estimator is plugged into the optimization problem that y...
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作者：Lan, Hai; Nelson, Barry L.; Staum, Jeremy
作者单位：Shanghai Jiao Tong University; Northwestern University
摘要：We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner level estimates expected loss conditional on each scenario. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval. It also uses tools from the ranking-and-selection literature to make the simulation efficient.
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作者：Cervellera, Cristiano; Maccio, Danilo; Muselli, Marco
作者单位：Consiglio Nazionale delle Ricerche (CNR); Istituto di Studi sui Sistemi Intelligenti per l'Automazione (ISSIA-CNR); Consiglio Nazionale delle Ricerche (CNR); Istituto di Elettronica e di Ingegneria dell'Informazione e delle Telecomunicazioni (IEIIT-CNR)
摘要：An approach based on semilocal approximation is introduced for the solution of a general class of operations research problems, such as Markovian decision problems, multistage optimal control, and maximum-likelihood estimation. Because it is extremely hard to derive analytical solutions that minimize the cost in most instances of the problem, we must look for approximate solutions. Here, it is shown that good solutions can be obtained with a moderate computational effort by exploiting properti...
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作者：Dunkel, Joern; Weber, Stefan
作者单位：University of Oxford; Leibniz University Hannover
摘要：Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved risk measures have been suggested and analyzed in the recent literature, but their computational implementation has largely been neglected so far. We propose and investigate stochastic approximation algorithms for the convex risk measure Utility-Based Shortfall Risk. Our approach combines stochastic root-finding schemes...
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作者：Guseo, Renato; Mortarino, Cinzia
作者单位：University of Padua
摘要：The aim of this note is to correct an error in the formulation of Theorem 1 by Savin and Terwiesch [Savin, S., C. Terwiesch. 2005. Optimal product launch times in a duopoly: Balancing life-cycle revenues with product cost. Oper. Res. 53(1) 26-47].
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作者：Kaplan, Edward H.
作者单位：Yale University
摘要：This article presents the first models developed specifically for understanding the infiltration and interdiction of ongoing terror plots by undercover intelligence agents, and does so via novel application of ideas from queueing theory and Markov population processes. The resulting terror queue models predict the number of undetected terror threats in an area from agent activity/utilization data, and also estimate the rate with which such threats can be detected and interdicted. The models tr...
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作者：Brown, David B.; Smith, James E.; Sun, Peng
作者单位：Duke University
摘要：We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and impose a penalty that punishes violations of nonanticipativity. In applications, the hope is that this relaxed version of the problem will be simpler to solve than the original dynamic prog...
