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作者：Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
作者单位：Chuo University; University of British Columbia; National University of Singapore; National University of Singapore
摘要：Whereas solutions of distributionally robust optimization (DRO) problems can sometimes have a higher out-of-sample expected reward than the sample average approximation (SAA), there is no guarantee. In this paper, we introduce a class of distributionally optimistic optimization (DOO) models and show that it is always possible to beat SAA out-of-sample if we consider not just worst case (DRO) models but also best case (DOO) ones. We also show, however, that this comes at a cost: optimistic solu...
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作者：Zhalechian, Mohammad; Keyvanshokooh, Esmaeil; Shi, Cong; Van Oyen, Mark P.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Texas A&M University System; Texas A&M University College Station; Mays Business School; University of Miami; University of Michigan System; University of Michigan
摘要：The choice of care unit upon admission to the hospital is a challenging task because of the wide variety of patient characteristics, uncertain needs of patients, and limited number of beds in intensive and intermediate care units. The care unit placement decisions involve capturing the trade-off between the benefit of better health outcomes versus the opportunity cost of reserving higher level of care beds for potentially more complex patients arriving in the future. By focusing on reducing th...
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作者：Siegel, Andrew F.; Wagner, Michael R.
作者单位：University of Washington; University of Washington Seattle
摘要：In this note, we identify a statistically significant error in naively estimating the expected profit in a data-driven newsvendor model, and we show how to correct the error. In particular, we analyze a newsvendor model where the continuous demand distribution is not known, and only a sample of demand data is available. In this context, an empirical demand distribution, that is induced by the sample of data, is used in place of the (unknown) true distribution. The quantity at the critical perc...
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作者：Bekci, Recep Yusuf; Gumus, Mehmet; Miao, Sentao
作者单位：University of Waterloo; McGill University; University of Colorado System; University of Colorado Boulder
摘要：Motivated by our collaboration with one of the largest fast-fashion retailers in Europe, we study a two-echelon inventory control problem called the one-warehouse multistore (OWMS) problem when the demand distribution is unknown. This system has a central warehouse that receives an initial replenishment and distributes its inventory to multiple stores in each time period during a finite horizon. The goal is to minimize the total expected cost, which consists of shipment, holding, lost-sales, a...
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作者：Tse, Alex S. L.; Zheng, Harry
作者单位：University of London; University College London; Imperial College London
摘要：We present a continuous-time portfolio selection problem faced by an agent with S-shaped preference who maximizes the utilities derived from the portfolio's periodic performance over an infinite horizon. The periodic reward structure creates subtle incentive distortion. In some cases, local risk aversion is induced, which discourages the agent from risk taking in the extreme bad states of the world. In some other cases, eventual ruin of the portfolio is inevitable, and the agent underinvests i...
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作者：Petra, Cosmin G.; Aravena, Ignacio
作者单位：United States Department of Energy (DOE); Lawrence Livermore National Laboratory
摘要：We present a decomposition approach for obtaining good feasible solutions for the security-constrained, alternating-current, optimal power flow (SC-AC-OPF) problem at an industrial scale and under real-world time and computational limits. The approach was designed while preparing and participating in ARPA-E's Grid Optimization Competition (GOC) Challenge 1. The challenge focused on a near-real-time version of the SC-AC-OPF problem, where a base operating point is optimized, taking into account...
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作者：Ararat, Cagin; Meimanjan, Nurtai
作者单位：Ihsan Dogramaci Bilkent University; Vienna University of Economics & Business
摘要：Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic risk measures have been proposed in the literature that are used to determine capital requirements for the members subject to joint risk considerations. We address the problem of computing systemic risk measures for systems with sophisticated clearing mechanism...
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作者：Vojnovic, Milan; Yun, Se-Young; Zhou, Kaifang
作者单位：University of London; London School Economics & Political Science; Korea Advanced Institute of Science & Technology (KAIST)
摘要：The problem of assigning ranking scores to items based on observed comparison data (e.g., paired comparisons, choice, and full ranking outcomes) has been of continued interest in a wide range of applications, including information search, aggregation of social opinions, electronic commerce, online gaming platforms, and, more recently, evaluation of machine learning algorithms. The key problem is to compute ranking scores, which are of interest for quantifying the strength of skills, relevancie...
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作者：Baldick, Ross; Chen, Yonghong; Huang, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：We consider a storage device, such as a pumped storage hydroelectric generator, that has a state of charge together with mutually exclusive and disjoint charging and generating modes. We develop valid inequalities for a storage model that uses binary variables to represent the charging and generating modes. To investigate the model, we consider two contexts, stand-alone and large-scale. The stand-alone context involves the hydroelectric generator purchasing or selling electricity based on know...
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作者：Gholami, Amin; Sun, Kaizhao; Zhang, Shixuan; Sun, Xu Andy
作者单位：Brown University; Massachusetts Institute of Technology (MIT)
摘要：In this paper, we study efficient and robust computational methods for solving the security-constrained alternating current optimal power flow (SC-ACOPF) problem, a two-stage nonlinear optimization problem with disjunctive constraints, that is central to the operation of electric power grids. The first-stage problem in SC-ACOPF determines the operation of the power grid in normal condition, whereas the second-stage problem responds to various contingencies of losing generators, transmission li...
