Operations Research

最新文章

• Maximin Latin hypercube designs in two dimensions AI翻译
  作者：van Dam, Edwin R.; Husslage, Bart; den Hertog, Dick; Melissen, Hans
  作者单位：Tilburg University; Delft University of Technology
  摘要：The problem of finding a maximin Latin hypercube design in two dimensions can be described as positioning n nonattacking rooks on an n x n chessboard such that the minimal distance between pairs of rooks is maximized. Maximin Latin hypercube designs are important for the approximation and optimization of black-box functions. In this paper, general formulas are derived for maximin Latin hypercube designs for general n, when the distance measure is l(infinity) or l(1). Furthermore, for the dista...
• Satiation in discounted utility AI翻译
  作者：Baucells, Manel; Sarin, Rakesh K.
  作者单位：University of Navarra; IESE Business School; University of California System; University of California Los Angeles
  摘要：In this paper, we propose a model of intertemporal choice that explicitly incorporates satiation due to previous consumption in the evaluation of the utility of current consumption. In the discounted utility (DU) model, the utility of consumption is evaluated afresh in each time period. In our model, the utility of current consumption represents an incremental utility from the past level. When the time interval between consumption periods is large, and there are, therefore, no carryover effect...
• Lexicographically minimum and maximum load linear programming problems AI翻译
  作者：Nace, Dritan; Orlin, James B.
  作者单位：Centre National de la Recherche Scientifique (CNRS); Universite de Technologie de Compiegne; Massachusetts Institute of Technology (MIT)
  摘要：In this paper, we introduce the lexicographically minimum load linear programming problem, and we provide a polynomial approach followed by the proof of correctness. This problem has applications in numerous areas where it is desirable to achieve an equitable distribution or sharing of resources. We consider the application of our technique to the problem of lexicographically minimum load in capacitated multicommodity networks and discuss a special nonlinear case, the so-called Kleinrock load ...
• A combinatorial heuristic approach for solving real-size machinery location and road design problems in forestry planning AI翻译
  作者：Epstein, Rafael; Weintraub, Andres; Sapunar, Pedro; Nieto, Enrique; Sessions, Julian B.; Sessions, John; Bustamante, Fernando; Musante, Hugo
  作者单位：Universidad de Chile; Tektronix, Inc.; Oregon State University
  摘要：The location and operation of harvest machinery, along with the design and construction of access roads, are important problems faced by forestry planners, making up about 55% of total production costs. One of the main challenges consists of finding a design that will minimize the cost of installation and operation of harvest machinery, road construction, and timber transport, while complying with the technical restrictions that apply to the operation of harvesting equipment and road construct...
• Efficient supply chain management at the US Coast Guard using part-age dependent supply replenishment policies AI翻译
  作者：Deshpande, Vinayak; Iyer, Ananth V.; Cho, Richard
  作者单位：Purdue University System; Purdue University; University of New Brunswick
  摘要：The United States Coast Guard (USCG), now part of the Department of Homeland Security, has the mission to secure the U.S. coastline using a combination of air and sea capabilities. This paper focuses on an application of operations research techniques at the USCG to improve the performance of its aircraft service parts supply chain. We focused on evaluating the supply chain benefits from linking the aircraft maintenance database with the aircraft parts inventory database. This required us to (...
• Online low-price guarantees - A real options analysis AI翻译
  作者：Marcus, Benjamin; Anderson, Chris K.
  作者单位：Suffolk University; Cornell University
  摘要：A common practice among large retailers is the low-price guarantee, rebating consumers if they find an identical product cheaper elsewhere. This provides consumers with some level of comfort in their purchase decision. A similar low-price guarantee is provided by numerous service industries that allow reservation of capacity, yet do not penalize the consumer for failure to keep that reservation-examples include hotels and car rental. Given that a consumer is not required to keep the reservatio...
• Robust one-period option hedging AI翻译
  作者：Lutgens, Frank; Sturm, Jos; Kolen, Antoon
  作者单位：Maastricht University; Tilburg University; Maastricht University
  摘要：We consider robust optimization to cope with uncertainty about the stock return process in one-period option hedging problems. The robust approach relates portfolio choice to uncertainty, making more cautious hedges when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlying stocks and show that for this set the robust problem is a second-order cone program that can be solved efficiently. We apply the approach to find an optimal portfolio to hedg...
• On the effects of dimension reduction techniques on some high-dimensional problems in finance AI翻译
  作者：Wang, Xiaoqun
  作者单位：Tsinghua University; University of New South Wales Sydney
  摘要：Many problems in finance can be formulated as high-dimensional integrals, which are often attacked by quasi-Monte Carlo (QMC) algorithms. To enhance QMC algorithms, dimension reduction techniques, such as the Brownian bridge (BB) and principal component analysis (PCA), are used to reduce the effective dimension. This paper explores in depth the effects of these techniques on the dimension structure of some typical high-dimensional problems from finance: the pricing of path-dependent options an...
• Inventory planning with forecast updates: Approximate solutions and cost error bounds AI翻译
  作者：Lu, Xiangwen; Song, Jing-Sheng; Regan, Amelia
  作者单位：Cisco Systems Inc; Cisco USA; Duke University; University of California System; University of California Irvine
  摘要：We consider a finite-horizon, periodic-review inventory model with demand forecasting updates following the martingale model of forecast evolution (MMFE). The optimal policy is a state-dependent base-stock policy, which, however, is computationally intractable to obtain. We develop tractable bounds on the optimal base-stock levels and use them to devise a,general class of heuristic solutions. Through this analysis, we identify a necessary and sufficient condition for the myopic policy to be op...
• A monopolistic and oligopolistic stochastic flow revenue management model AI翻译
  作者：Xu, Xiaowei; Hopp, Wallace J.
  作者单位：Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Northwestern University
  摘要：This paper studies a one-shot inventory replenishment problem with dynamic pricing. The customer arrival rate is assumed to follow a geometric Brownian motion. Homogeneous customers have an isoelastic demand function and do not behave strategically. We find a closed-form optimal pricing policy, which utilizes current demand information. Under this pricing policy the inventory trajectory is deterministic, and a retailer sells all inventory. We show that dynamic pricing coordinated with the inve...