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作者：Yao, DD; Zhang, SH; Zhou, XY
作者单位：Columbia University; Chinese University of Hong Kong
摘要：We study the problem of tracking a financial benchmark-a continuously compounded growth rate or a stock market index-by dynamically managing a portfolio consisting of a small number of traded stocks in the market. In either case, we formulate the tracking problem as an instance of the stochastic linear quadratic control (SLQ), involving indefinite cost matrices. As the SLQ formulation involves a discounted objective over an infinite horizon, we first address the issue of stabilizability. We th...
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作者：Whitt, W
作者单位：Columbia University
摘要：This paper studies the M/M/s + M queue, i.e., the M/M/s queue with customer abandonment, also called the Erlang-A model, having independent and identically distributed customer abandon times with an exponential distribution (the + M), focusing on the case in which the arrival rate and the number of servers are large. The goal is to better understand the sensitivity of performance to changes in the model parameters: the arrival rate, the service rate, the number of servers, and the abandonment ...
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作者：Bienstock, D; Raskina, O; Saniee, I; Wang, Q
作者单位：Columbia University; AT&T
摘要：In this paper we describe an efficient algorithm for solving novel optimization models arising in the context of multiperiod capacity expansion of optical networks. We assume that the network operator must make investment decisions over a multiperiod planning horizon while facing rapid changes in transmission technology, as evidenced by a steadily decreasing per-unit cost of capacity. We deviate from traditional and monopolistic models in which demands are given as input parameters, and the ob...
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作者：Abbas, AE
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper presents a method to assign utility values when only partial information is available about the decision maker's preferences. We introduce the notion of a utility density function and a maximum entropy principle for utility assignment. The maximum entropy utility solution embeds a large family of utility functions that includes the most commonly used functional forms. We discuss the implications of maximum entropy utility on the preference behavior of the decision maker and present ...
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作者：Gallien, J
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper is a mechanism design study for a monopolist selling multiple identical items to potential buyers arriving over time. Participants in our model are time sensitive, with the same discount factor; potential buyers have unit demand and arrive sequentially according to a renewal process; and valuations are drawn independently from the same regular distribution. Invoking the revelation principle, we restrict our attention to direct dynamic mechanisms taking a sequence of valuations and a...
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作者：Anily, S; Grosfeld-Nir, A
作者单位：Tel Aviv University; Academic College of Tel Aviv Yaffo
摘要：A batch production process that is initially in the in-control state can fail with constant failure rate to the out-of-control state. The probability that a unit is conforming if produced while the process is in control is constant and higher than the respective constant conformance probability while the process is out of control. When production ends, the units are inspected in the order they have been produced. The objective is to design a production and inspection policy that guarantees a z...
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作者：Bernstein, F; DeCroix, GA
作者单位：Duke University
摘要：We consider a system in which a single finished good is assembled from two components. Demand for the finished product is stochastic and stationary, and procurement and assembly lead times are constant. Unsatisfied demand is backordered. The inventory of each component or assembly is controlled by a separate firm using a base-stock policy. Each firm is charged holding costs on its own inventory, plus a share of the shortage cost due to backorders of the finished product. We investigate the equ...
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作者：Dawande, M; Gavirneni, S; Tayur, S
作者单位：University of Texas System; University of Texas Dallas; Cornell University; Carnegie Mellon University
摘要：Motivated by real applications, we consider the problem of shipping products to multiple customers from limited inventory. After formulating the optimization problems under different restrictions on partial shipments, we find that commercially available packages, applied directly, are unsatisfactory, as are simple greedy approaches. We develop a scheme of heuristics that enables the user to select a good balance between computation time and effectiveness. A detailed computational study of one-...
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作者：Fry, MJ; Magazine, MJ; Rao, US
作者单位：University System of Ohio; University of Cincinnati
摘要：We examine the problem of determining the annual staffing level that minimizes total expected costs for a fire department, subject to minimum service-level-based staffing requirements. We develop a quantitative model that allows for stochastic temporary absences, permanent wastage, and limited hiring opportunities, and takes into account the unique firefighter work schedule. Our model is reminiscent of traditional newsvendor-type inventory models, but where the uncertainty is dependent on the ...
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作者：Ghiani, G; Laporte, G; Semet, F
作者单位：Universite de Montreal; University of Salento; Universite de Montreal; HEC Montreal; Centre National de la Recherche Scientifique (CNRS); Universite Polytechnique Hauts-de-France
摘要：The black and white traveling salesman problem (BWTSP) is defined on a graph G whose vertex set is partitioned into black and white vertices. The aim is to design a shortest Hamiltonian tour on G subject to cardinality and length constraints: both the number of white vertices as well as the length of the tour between two consecutive black vertices are bounded above. The BWTSP has applications in airline scheduling and in telecommunications. This paper proposes an integer linear formulation for...
