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作者：Maglaras, Costis; Moallemi, Ciamac C.; Zheng, Hua
作者单位：Columbia University; JP Morgan Chase & Company
摘要：In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books under a price-time priority rule and, in turn, can be modeled as multiclass first-in-first-out queueing systems. A market with multiple exchanges can be thought as a decentralized, parallel queueing system. Heterogeneous traders that submit limit orders select the exchange (i.e., the queue), in which to place their orders by trading off financial...
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作者：Lin, Kyle Y.
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：A defender dispatches patrollers to circumambulate a perimeter to guard against potential attacks. The defender decides on the time points to dispatch patrollers and each patroller's direction and speed, as long as the long-run rate at which patrollers are dispatched is capped at some constant. An attack at any point on the perimeter requires the same amount of time, during which it will be detected by each passing patroller independently with the same probability. The defender wants to maximi...
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作者：D'Errico, Marco; Roukny, Tarik
作者单位：European Central Bank
摘要：Over-the-counter markets are at the center of the global reform of the financial system. We show how the size and structure of these markets can undergo rapid and extensive changes when participants engage in portfolio compression, which is an optimization technology that exploits multilateral netting opportunities. We find that tightly knit and concentrated trading structures, as featured by many large over-the-counter markets, are especially susceptible to reductions of notional amounts and ...
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作者：DeCroix, Gregory; Long, Xiaoyang; Tong, Jordan
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We formalize an understudied mechanism through which quality variability hurts firm revenues, analyze when and why this mechanism is important, and generate new insight into how dynamic personalized pricing strategies can mitigate the negative effects of quality variability. To do so, we model a firm that sells a service repeatedly with variable but stationary quality. Customers update their quality beliefs based on their experiences (exponential smoothing), and their purchase probability in e...
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作者：Russ, Matthias; Gust, Gunther; Neumann, Dirk
作者单位：University of Freiburg
摘要：The constrained reliable shortest path problem in stochastic time-dependent networks (CRSP-STD) extends the reliable, the time-dependent, and the constrained shortest path problem. In the CRSP-STD, shortest paths need to ensure on-time arrival with a given probability and additionally satisfy constraints on time-dependent weights. Examples of such time-dependent weights in transport networks include time-varying congestion charges or dynamic fees for shared vehicles. If weights decrease over t...
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作者：Dyson, Robert G.; O'Brien, Frances A.; Shah, Devan B.
作者单位：University of Warwick
摘要：This paper explores the work of some 43 founders of operations research. In particular, it considers the links between soft operations research (OR) and these founders. Several of the founders were direct influencers of the soft OR proponents, whereas others related to the context, process, and content of soft OR. Coupled with the deductive and inductive reasoning approaches of soft OR, it is argued that soft OR is a legitimate branch of OR. The paper also focuses on the embeddedness of the fo...
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作者：Pessoa, Artur Alves; Poss, Michael; Sadykov, Ruslan; Vanderbeck, Francois
作者单位：Universidade Federal Fluminense; Centre National de la Recherche Scientifique (CNRS); Universite de Montpellier; Centre National de la Recherche Scientifique (CNRS); Inria
摘要：Y We examine the robust counterpart of the classical capacitated vehicle routing problem (CVRP). We consider two types of uncertainty sets for the customer demands: the classical budget polytope and a partitioned budget polytope. We show that using the set-partitioning formulation it is possible to reformulate our problem as a deterministic heterogeneous vehicle routing problem. Thus, many state-of-the-art techniques for exactly solving deterministic VRPs can be applied to the robust counterpa...
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作者：Zenios, Stavros A.; Consiglio, Andrea; Athanasopoulou, Marialena; Moshammer, Edmund; Gavilan, Angel; Erce, Aitor
作者单位：University of Cyprus; University of Pennsylvania; University of Palermo; Banco de Espana; Universidad Publica de Navarra
摘要：We model sovereign debt sustainability with optimal financing decisions under macroeconomic, financial, and fiscal uncertainty, with endogenous risk and term premia. Using a coherent risk measure we trade off debt stock and flow risks subject to sustainability constraints. We optimize static and dynamic financing strategies and demonstrate economically significant savings from optimal financing compared with simple rules and consols, and find that optimizing the trade-offs can be critical for ...
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作者：Merdan, Selin; Barnett, Christine L.; Denton, Brian T.; Montie, James E.; Miller, David C.
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：We used data-analytics approaches to develop, calibrate, and validate predictive models, to help urologists in a large statewide collaborative make prostate cancer staging decisions on the basis of individual patient risk factors. The models were validated using statistical methods based on bootstrapping and evaluation on out-of-sample data. These models were used to design guidelines that optimally weigh the benefits and harms of radiological imaging for the detection of metastatic prostate c...
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作者：Saban, Daniela; Weintraub, Gabriel Y.
作者单位：Stanford University
摘要：We consider the problem faced by a procurement agency that runs a mechanism for constructing an assortment of differentiated products with posted prices, from which heterogeneous consumers buy their most preferred alternative. Procurement mechanisms used by large organizations, including framework agreements (FAs), which are widely used in the public sector, often take this form. When choosing the assortment, the procurement agency must optimize the tradeoff between offering a richer menu of p...
