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作者：Das, Milan Kumar; Tsai, Henghsiu; Kyriakou, Ioannis; Fusai, Gianluca
作者单位：Academia Sinica - Taiwan; City St Georges, University of London; University of Eastern Piedmont Amedeo Avogadro; City St Georges, University of London
摘要：In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou [(2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3):540???554] for accurately approximating the probability distribution of a weighted stochastic sum or time integral under general one-dimensional Markov processes. Since then, Song, Cai, and Kou [(2018) Computable error bounds of Laplace inversion for pricing Asian options. INFORMS J. Comput. 30(4):625???786] a...
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作者：Feldman, Jacob; Segev, Danny
作者单位：Washington University (WUSTL); Tel Aviv University
摘要：In this paper, we consider the assortment problem under the multinomial logit (MNL) model with sequential offerings recently proposed by Liu et al. [INFORMS J. Comput., 2020] to capture a multitude of applications, ranging from appointment scheduling in hospitals, restaurants, and fitness centers to product recommendations in e-commerce settings. In this problem, the purchasing dynamics of customers sequentially unfold over T stages. Within each stage, the retailer selects an assortment of pro...
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作者：Hu, Yichun; Kallus, Nathan; Mao, Xiaojie
作者单位：Cornell University; Tsinghua University
摘要：We study a nonparametric contextual bandit problem in which the expected reward functions belong to a Holder class with smoothness parameter beta. We showhowthis interpolates between two extremes that were previously studied in isolation: nondifferentiable bandits (beta at most 1), with which rate-optimal regret is achieved by running separate noncontextual bandits in different context regions, and parametric-response bandits (infinite beta), with which rate-optimal regret can be achieved with...
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作者：Keppo, Jussi; Kim, Michael Jong; Zhang, Xinyuan
作者单位：National University of Singapore; National University of Singapore; University of British Columbia
摘要：We study optimal manipulation of a Bayesian learner through adaptive provisioning of information. The problem is motivated by settings in which a firm can disseminate possibly biased information at a cost, to influence the public's belief about a hidden parameter related to the firm's payoffs. For example, firms advertise to sell products. We study a sequential optimizationmodel in which the firmdynamically decides on the quantity and content of information sent to the public, aiming to maximi...
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作者：Anderson, Edward; Chen, Bo; Shao, Lusheng
作者单位：University of Sydney; Imperial College London; University of Warwick; University of Melbourne
摘要：We introduce a general model for suppliers competing for a buyer's procurement business. The buyer faces uncertain demand, and there is a requirement to reserve capacity in advance of knowing the demand. Each supplier has costs that are twodimensional, with some capacity costs incurred prior to production and some production costs incurred at the time of delivery. These costs are general functions of quantity, and this naturally leads us to a supply function competition framework in which each...
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作者：Eckman, David J.; Plumlee, Matthew; Nelson, Barry L.
作者单位：Texas A&M University System; Texas A&M University College Station; Northwestern University
摘要：When working with models that allow for many candidate solutions, simulation practitioners can benefit fromscreening out unacceptable solutions in a statistically controlled way. However, for large solution spaces, estimating the performance of all solutions through simulation can prove impractical. We propose a statistical framework for screening solutions even when only a relatively small subset of them is simulated. Our framework derives its superiority over exhaustive screening approaches ...
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作者：Jiang, Nan; Xie, Weijun
作者单位：Virginia Polytechnic Institute & State University
摘要：In a chance constrained program (CCP), decision makers seek the best decision whose probability of violating the uncertainty constraints is within the prespecified risk level. As a CCP is often nonconvex and is difficult to solve to optimality, much effort has been devoted to developing convex inner approximations for a CCP, among which the conditional value-at-risk (CVaR) has been known to be the best for more than a decade. This paper studies and generalizes the ALSO-X, originally proposed b...
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作者：Wang, Yining; Wang, He
作者单位：State University System of Florida; University of Florida; University System of Georgia; Georgia Institute of Technology
摘要：Price-based revenue management is an important problem in operations management with many practical applications. The problemconsiders a sellerwho sells one ormultiple products over T consecutive periods and is subject to constraints on the initial inventory levels of resources. Whereas, in theory, the optimal pricing policy could be obtained via dynamic programming, computing the exact dynamic programming solution is often intractable. Approximate policies, such as the resolving heuristics, a...
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作者：Dahan, Mathieu; Sela, Lina; Amin, Saurabh
作者单位：University System of Georgia; Georgia Institute of Technology; University of Texas System; University of Texas Austin; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：This article studies a problem of strategic network inspection, in which a defender (agency) is tasked with detecting the presence of multiple attacks in the network. An inspection strategy entails monitoring the network components, possibly in a randomized manner, using a given number of detectors. We formulate the network inspection problem (p) as a large-scale bilevel optimization problem, in which the defender seeks to determine an inspection strategy with minimum number of detectors that ...
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作者：Manchiraju, Chandrasekhar; Dawande, Milind; Janakiraman, Ganesh
作者单位：University of Texas System; University of Texas Dallas
摘要：We study a multiproduct pricing problem in which the prices of the products are restricted to discrete and finite sets. The demand for a product is a function of the prices of all the products. The prices of the products can be changed through time, subject to the aggregate consumption of each resource not exceeding its availability over the planning horizon. The focus of our work is the deterministic variant of this problem (wherein customer-arrival rates are deterministic), which is a key su...
