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作者：Bai, Xingyu; Chen, Xin; Li, Menglong; Stolyar, Alexander
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University System of Georgia; Georgia Institute of Technology; City University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We consider a generic Markov decision process (MDP) with two controls: one control taking effect immediately and the other control whose effect is delayed by a positive lead time. As the lead time grows, one naturally expects that the effect of the delayed action only weakly depends on the current state, and decoupling the delayed action from the current state could provide good controls. The purpose of this paper is to substantiate this decoupling intuition by establishing asymptotic optimali...
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作者：Chen, Xinyun; Liu, Yunan; Hong, Guiyu
作者单位：The Chinese University of Hong Kong, Shenzhen; North Carolina State University
摘要：We study a dynamic pricing and capacity sizing problem in a GI/GI/1 queue, in which the service provider's objective is to obtain the optimal service fee p and service capacity & mu; so as to maximize the cumulative expected profit (the service revenue minus the staffing cost and delay penalty). Because of the complex nature of the queueing dynamics, such a problem has no analytic solution so that previous research often resorts to heavy traffic analysis in which both the arrival and service r...
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作者：Bensoussan, Alain; Liu, John J.; Yuan, Jiguang
作者单位：University of Texas System; University of Texas Dallas; Hong Kong Polytechnic University
摘要：In this paper, we develop a splitting solution method for two-sided impulse control of Brownian motion, which leads to an expanding range of band control applications and studies, such as monetary reserves (including the previously studied cash management problem, exchange rate control in central banks, and marine mutual insurance reserves), inventory systems, and lately natural resources and energy reservation. It has been shown since earlier studies in 1970s that the optimal two-sided impuls...
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作者：Liguori, Pedro Henrique; Mahjoub, A. Ridha; Marques, Guillaume; Sadykov, Ruslan; Uchoa, Eduardo
作者单位：Kuwait University; Universite de Bordeaux; Universidade Federal Fluminense
摘要：The capacitated location-routing problem consists in, given a set of locations and a set of customers, determining in which locations one should install depots with limited capacity, and for each depot, design a number of routes to supply customer demands. We provide a formulation that includes depot variables, edge variables, assignment variables, and an exponential number of route variables, together with some new families of valid inequalities, leading to a branch-cut-and-price algorithm. T...
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作者：Edirisinghe, Chanaka; Chen, Jingnan; Jeong, Jaehwan
作者单位：Rensselaer Polytechnic Institute; Beihang University; Radford University
摘要：We study optimal portfolio choice under leveraging to improve portfolio performance when trade execution faces market impact. We consider a quasi-elastic market with continuous trading in which temporary liquidity costs are sufficiently large relative to permanent impact. The resulting convex optimization model is used to show analytically that an unlevered portfolio maximizing the Sharpe ratio is no longer a tangency portfolio, and increasing the portfolio target mean leads to severely underm...
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作者：Alaei, Saeed; Makhdoumi, Ali; Malekian, Azarakhsh
作者单位：Alphabet Inc.; Google Incorporated; Duke University; University of Toronto
摘要：We consider a media service provider that gives users access to digital goods through subscription. In our model, different types of users with heterogeneous usage rates repeatedly use a platform over a period of time. There are multiple item types on the platform, and the value of an item to a user is random and depends on both the user type and the item type. The design of the platform's subscription planning comprises selecting a subscription fee for each set of item types. Before the begin...
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作者：Sturt, Bradley
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal stopping problems with known probability distributions. The approach uses simulation to construct a robust optimization problem that approximates the stochastic optimal stopping problem to any arbitrary accuracy; we then solve the robust optimization problem to ob...
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作者：Long, Zhenghua; Zhang, Hailun; Zhang, Jiheng; Zhang, Zhe George
作者单位：Nanjing University; The Chinese University of Hong Kong, Shenzhen; Hong Kong University of Science & Technology; Western Washington University; Simon Fraser University
摘要：We study the optimal control of a queueing model with a single customer class and heterogeneous server pools. The main objective is to strike a balance between the holding cost of the queue and the operating costs of the server pools. We introduce a target-allocation policy, which assigns higher priority to the queue or pools without enough customers for general cost functions. Although we can prove its asymptotic optimality, implementation requires solving a nonlinear optimization problem. Wh...
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作者：Kunnumkal, Sumit
作者单位：Indian School of Business (ISB)
摘要：We consider the cardinality-constrained assortment optimization problem under the nested logit model where there is a constraint that limits the number of products that can be offered within each nest. The problem is known to be intractable if the nest dissimilarity parameters are larger than one or there is a no-purchase alternative within each nest. Although these conditions often come up in practice, the existing solution approaches cannot handle them. We propose a solution method to obtain...
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作者：Spliet, Remy
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：State-of-the-art exact algorithms for vehicle routing problems are branch-price-and-cut algorithms that make use of a set partitioning formulation. Only exponential time algo-rithms are known for the corresponding pricing problem. In this technical note, it is proven that the pricing problem is strongly NP-hard for various vehicle routing problems. This justi-fies the common use of route relaxations that modify the set partitioning formulation with the aim to allow pseudopolynomial pricing alg...
