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作者：Nilim, A; El Ghaoui, L
作者单位：University of California System; University of California Berkeley
摘要：Optimal solutions to Markov decision problems may be very sensitive with respect to the state transition probabilities. In many practical problems, the estimation of these probabilities is far from accurate. Hence, estimation errors are limiting factors in applying Markov decision processes to real-world problems. We consider a robust control problem for a finite-state, finite-action Markov decision process, where uncertainty on the transition matrices is described in terms of possibly nonconv...
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作者：Gabriel, SA; Kiet, S; Zhuang, JF
作者单位：University System of Maryland; University of Maryland College Park
摘要：We present a new multiseasonal, multiyear, natural gas market equilibrium model based on the concept of a competitive equilibrium involving the market participants: producers, storage reservoir operators, peak gas operators, pipeline operators, marketers, and consumers. The first three classes are depicted as price-takers consistent with perfect competition. The pipeline operations are described with regulated tariffs, but also involve congestion pricing as a mechanism to allocate scarce pipel...
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作者：Salazar-González, JJ
作者单位：Universidad de la Laguna
摘要：This paper concerns statistical disclosure control methods to minimize information loss while keeping small the disclosure risk from different data snoopers. This issue is of primary importance in practice for statistical agencies when publishing data. It is assumed that the sensitive data have been identified by practitioners in the statistical offices, and the paper addresses the secondary problem of protecting these data with different methods, all defined in a unified mathematical framewor...
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作者：Armstrong, MJ
作者单位：Carleton University
摘要：In this paper, we propose a stochastic version of the salvo model for modem naval surface combat. We derive expressions for the mean and variance of surviving force strengths and for the probabilities of the possible salvo outcomes in forms simple enough to be implemented in spreadsheet software. Numerical comparisons of the deterministic and stochastic models indicate that while the two models tend to provide similar estimates of the average number of ships surviving a salvo, this average by ...
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作者：Ata, B
作者单位：Northwestern University
摘要：A controller dynamically chooses a state-dependent transmission rate on a static, point-to-point wireless link by varying transmission power over time. The transmitter is modeled as a finite-buffer Markovian queue with adjustable service rates. That is, data packets arrive to the system according to a Poisson process, and packet size is exponentially distributed. The controller chooses a transmission rate from a fixed set A of available values, depending on the backlog in the system. The objec...
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作者：Hopp, WJ; Iravani, SMR; Shou, BY
作者单位：Northwestern University
摘要：To gain insights into the design and control of manufacturing cells with automation, we study simple models of serial production systems where one flexible worker attends a set of automated stations. We (a) characterize the operational benefits of automation, (b) determine the most desirable placement of automation within a line, and (c) investigate how best to allocate labor dynamically in a line with manual and automatic equipment. We do this by first considering two-station Markov decision ...
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作者：Chick, SE; Wu, YZ
作者单位：INSEAD Business School
摘要：Selection procedures help identify the best of a finite set of simulated alternatives. Most work has measured the quality of a selection with the probability of correct selection, P(CS), but the expected opportunity cost of a potentially incorrect decision makes more sense in business contexts. This paper analyzes the first selection procedures that guarantee an upper bound for the expected opportunity cost, in a frequentist sense, of a potentially incorrect selection. The paper therefore brid...
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作者：Hutson, KR; Shier, DR
作者单位：University System of Ohio; Denison University; Clemson University
摘要：This paper considers the problem of determining the distribution of the weight W of a minimum spanning tree for an undirected graph with edge weights that are independently distributed discrete random variables. Using the underlying fundamental cutsets and cycles associated with a spanning tree, we are able to obtain upper and lower bounds on the distribution of W. In turn, these are used to establish bounds on E[W]. Our general method for deriving these bounding distributions subsumes existin...
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作者：Heyman, DP
摘要：One of the distinguishing features of a backbone link is that it is designed to carry traffic from a large number of end users. This results in a Normal distribution for the number of bytes or packets that arrive in a fixed-length time interval. Based on this observation, which is substantiated by data analysis, we present a simple model for the steady-state loss probability that can be solved in closed form. This model assumes that there is no buffer, so that issues raised by the correlation ...
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作者：Jacobs, BI; Levy, KN; Markowitz, HM
摘要：This paper presents fast algorithms for calculating mean-variance efficient frontiers when the investor can sell securities short as well as buy long, and when a factor and/or scenario model of covariance is assumed. Currently, fast algorithms for factor, scenario, or mixed (factor and scenario) models exist, but (except for a special case of the results reported here) apply only to portfolios of long positions. Factor and scenario models are used widely in applied portfolio analysis, and shor...
