Operations Research

最新文章

• Cumulative Dominance and Heuristic Performance in Binary Multiattribute Choice AI翻译
  作者：Baucells, Manel; Carrasco, Juan A.; Hogarth, Robin M.
  作者单位：University of Navarra; IESE Business School; Universitat Politecnica de Catalunya; ICREA; Pompeu Fabra University
  摘要：We study the effectiveness of simple heuristics in multiattribute decision making. We consider the case of an additive separable utility function with nonnegative, nonincreasing attribute weights. In this case, cumulative dominance ensures that the so-called cumulative dominance compliant heuristics will choose a best alternative. For the case of binary attribute values and under two probabilistic models of the decision environment generalizing a simple Bernoulli model, we obtain the probabili...
• A Risk-Sensitive Model for Managing Perishable Products AI翻译
  作者：Feng, Youyi; Xiao, Baichun
  作者单位：Chinese University of Hong Kong; Long Island University; Long Island University Post; Southwest Jiaotong University
  摘要：This article presents a risk-sensitive model for managing perishable products assuming the supplier is averse to the variation of revenues. While traditional risk-neutral revenue management models offer optimal strategies in the long run, they are exposed to the variation of revenue flows. If a short-term revenue target is a primary concern for the supplier, the risk-neutral assumption fails to provide the best policy needed. The proposed model uses an exponential function with a risk-sensitiv...
• A Make-to-Stock System with Multiple Customer Classes and Batch Ordering AI翻译
  作者：Huang, Boray; Iravani, Seyed M. R.
  作者单位：National University of Singapore; Northwestern University
  摘要：This paper examines the impact of customer order sizes on a make-to-stock system with multiple demand classes. We first characterize the manufacturer's optimal production and rationing policies when the demand is nonunitary and lost if unsatisfied. We also investigate the optimal policies of a backorder system with two demand classes and fixed order sizes. Through a numerical study, we show the effects of batch orders on the manufacturer's inventory cost as well as on the benefit of optimal st...
• The innovest Austrian pension fund financial planning model InnoALM AI翻译
  作者：Geyer, Alois; Ziemba, William T.
  作者单位：Vienna University of Economics & Business; University of British Columbia; University of Reading
  摘要：This paper describes the financial planning model InnoALM we developed at Innovest for the Austrian pension fund of the electronics firm Siemens. The model uses a multiperiod stochastic linear programming framework with a flexible number of time periods of varying length. Uncertainty is modeled using multiperiod discrete probability scenarios for random return and other model parameters. The correlations across asset classes, of bonds, stocks, cash, and other financial instruments, are state d...
• Efficient computation of hedging parameters for discretely exercisable options AI翻译
  作者：Kaniel, Ron; Tompaidis, Stathis; Zemlianov, Alexander
  作者单位：Duke University; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
  摘要：We propose an algorithm to calculate confidence intervals for the values of hedging parameters of discretely exercisable options using Monte Carlo simulation. The algorithm is based on a combination of the duality formulation of the optimal stopping problem for pricing discretely exercisable options and Monte Carlo estimation of hedging parameters for European options. We show that the width of the confidence interval for a hedging parameter decreases, with an increase in the computer budget, ...
• Service competition with general queueing facilities AI翻译
  作者：Allon, Gad; Federgruen, Awi
  作者单位：Northwestern University; Columbia University
  摘要：In many service industries, companies compete with each other on the basis of the waiting time their customers experience, along with the price they charge for their service. A firm's waiting-time standard may either be defined in terms of the expected value or a given, for example 95%, percentile of the steady state waiting-time distribution. We investigate how a service industry's competitive behavior depends on the characteristics of the service providers' queueing systems. We provide a uni...
• Now or later: A simple policy for effective dual sourcing in capacitated systems AI翻译
  作者：Veeraraghavan, Senthil; Scheller-Wolf, Alan
  作者单位：University of Pennsylvania; Carnegie Mellon University
  摘要：We examine a possibly capacitated, periodically reviewed, single-stage inventory system where replenishment can be obtained either through a regular fixed lead time channel, or, for a premium, via a channel with a smaller fixed lead time. We consider the case when the unsatisfied demands are backordered over an infinite horizon, introducing the easily implementable, yet informationally rich dual-index policy. We show very general separability results for the optimal parameter values, providing...
• Simulation-based optimization of virtual nesting controls for network revenue management AI翻译
  作者：van Ryzin, Garrett; Vulcano, Gustavo
  作者单位：Columbia University; New York University
  摘要：Virtual nesting is a popular capacity control strategy in network revenue management. In virtual nesting, products (itinerary-fare-class combinations) are mapped (indexed) into a relatively small number of virtual classes on each resource (flight leg) of the network. Nested protection levels are then used to control the availability of these virtual classes; specifically, a product request is accepted if and only if its corresponding virtual class is available on each resource required. Bertsi...
• Optimal joint inventory and transshipment control under uncertain capacity AI翻译
  作者：Hu, Xinxin; Duenyas, Izak; Kapuscinski, Roman
  作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
  摘要：In this paper, we address the optimal joint control of inventory and transshipment for a firm that produces in two locations and faces capacity uncertainty. Capacity uncertainty (e. g., due to downtime, quality problems, yield, etc.) is a common feature of many production systems, but its effects have not been explored in the context of a firm that has multiple production facilities. We first characterize the optimal production and transshipment policies and show that uncertain capacity leads ...
• Promised lead-time contracts under asymmetric information AI翻译
  作者：Lutze, Holly; Ozer, Ozalp
  作者单位：University of Texas System; University of Texas Dallas; Columbia University
  摘要：We study the important problem of how a supplier should optimally share the consequences of demand uncertainty (i.e., the cost of inventory excesses and shortages) with a retailer in a two-level supply chain facing a finite planning horizon. In particular, we characterize a multiperiod contract form, the promised lead-time contract, that reduces the supplier's risk from demand uncertainty and the retailer's risk from uncertain inventory availability. Under the contract terms, the supplier guar...