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作者：Karabati, S; Kouvelis, P; Yu, G
作者单位：Koc University; Washington University (WUSTL); University of Texas System; University of Texas Austin
摘要：In this paper we consider a class of discrete resource-allocation problems with a min-max-sum objective function. We first provide several examples of practical applications of this problem. We then develop a branch-and-bound procedure for solving the general case of this computationally intractable problem. The proposed solution procedure employs a surrogate relaxation technique to obtain lower and upper bounds on the optimal objective function value of the problem. To obtain the multipliers ...
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作者：Glasserman, P; Staum, J
作者单位：Columbia University; Cornell University
摘要：Pricing financial options often requires Monte Carlo methods. One particular case is that of barrier options, whose payoff may be zero depending on whether or not an underlying asset crosses a barrier during the life of the option. This paper develops variance reduction techniques that take advantage of the special structure of barrier options, and are appropriate for general simulation problems with similar structure. We use a change of measure at each step of the simulation to reduce the var...
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作者：Feng, YY; Xiao, BC
作者单位：Chinese University of Hong Kong; Long Island University; Long Island University Post
摘要：We consider an airline seat inventory control problem with multiple origins, one hub, and one destination. Passengers from the origins fly to the destination via the hub. Seat capacity of the hub-destination flight is fixed. Demands at origins are assumed to obey the Poisson process. To maximize the expected revenue, management faces decisions on allocating seats among competing origin-destination routes. This study presents a stochastic control model and develops optimal control rules. The ba...
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作者：Nelson, BL; Swann, J; Goldsman, D; Song, WM
作者单位：Northwestern University; University System of Georgia; Georgia Institute of Technology; National Tsing Hua University
摘要：In this paper, we address the problem of finding the simulated system with the best (maximum or minimum) expected performance when the number of alternatives is finite, but large enough that ranking-and-selection (R&S) procedures may require too much computation to be practical. Our approach is to use the data provided by the first stage of sampling in an R&S procedure to screen out alternatives that are not competitive, and thereby avoid the (typically much larger) second-stage sample for the...
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作者：Wilson, JR
作者单位：North Carolina State University
摘要：Recently, Nelson et al. (2001a, b) formulated a class of combined screening-and-selection procedures for identifying the simulated system with optimal expected response when the number of alternatives is finite, but large enough to render conventional ranking-and-selection procedures impractical. Under a certain key assumption, they derived an additive decomposition lemma that provides a lower bound on the correct-selection probability when either the original or group-screening version of the...
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作者：Naphade, KS; Wu, SD; Storer, RH; Doshi, BJ
作者单位：Lehigh University
摘要：The ingot formation or melt process is the first step in many steel-making operations. This process involves melting steel and alloys in the desired chemical composition, then pouring it into a variety of ingot molds. Complex technological and resource constraints can make the planning and scheduling of such processes extremely challenging. In this paper, we report our experience in developing solution methods for this melt scheduling problem at BethForge, a division of the Bethlehem Steel Cor...
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作者：Mahajan, S; van Ryzin, G
作者单位：Duke University; Columbia University
摘要：We analyze a model of inventory competition among n firms that provide competing, substitutable goods, Each firm chooses initial inventory levels for their good in a single period (newsboy-like) inventory model. Customers choose dynamically based on current availability, so the inventory levels at one firm affect the demand of all competing firms. This creates a strategic interaction among the firms' inventory decisions. Our work extends earlier work on variations of this problem by Karjalaine...
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作者：Cachon, GP
作者单位：University of Pennsylvania
摘要：This paper studies the competitive and cooperative selection of inventory policies in a two-echelon supply chain with one supplier and N retailers. Stochastic demand is monitored continuously. Retailers incur inventory holding and backorder penalty costs. The supplier incurs holding costs for its inventory and backorder penalty costs for backorders at the retailers. The latter cost reflects the supplier's desire to maintain adequate availability of its product to consumers. Previous research f...
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作者：Kenyon, C; Tompaidis, S
作者单位：International Business Machines (IBM); IBM Switzerland; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：We study options on short-term leases for capital-intensive equipment performing specific functions and services, such as leases for semi-submersible drilling rigs, marine seismic services, corporate real estate leasing, retail space leasing, and apartment leasing. We quantify the effect of an important factor in pricing options on these services: idle time between consecutive lease contracts. We show that while the expected, discounted value for a contract with options is unique, option price...
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作者：Kamrad, B; Ernst, R
作者单位：Georgetown University
摘要：This paper develops an operational risk management model for I evaluating production efforts in manufacturing and mining industries where the resource to be exploited is nonhomogenous. Using a contingent claims methodology now commonly encountered in financial applications, we formulate a production control model in an environment characterized by market and process uncertainty, In our analysis, market risk is depicted by the output price while process uncertainty is captured by the random var...
