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作者：Lian, ZT; Liu, LM; Neuts, MF
作者单位：University of Macau; Hong Kong University of Science & Technology; University of Arizona
摘要：We consider a discrete-time (s, S) inventory model in which the stored items have a random common lifetime with a discrete phase-type distribution. Demands arrive in batches following a discrete phase-type renewal process. With zero lead time and allowing backlogs, we construct a multidimensional Markov chain to model the inventory-level process. We obtain a closed-form expected cost function. Numerical results demonstrate some properties of optimal ordering policies and cost functions. When c...
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作者：Arutyunov, AV; Izmailov, AF
作者单位：Peoples Friendship University of Russia; Lomonosov Moscow State University
摘要：We present the local sensitivity analysis for cone-constrained optimization problems under the CQ-type conditions significantly weaker than those traditionally used in this context. Our basic sensitivity results are established under the first or second-order sufficient optimality conditions combined with the estimate of the distance to the feasible set of the perturbed problem. We demonstrate how such an estimate can be obtained under the assumptions weaker than Robinson's CQ, and establish t...
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作者：Borst, S; Zwart, B
作者单位：Centrum Wiskunde & Informatica (CWI); Alcatel-Lucent; Lucent Technologies; AT&T; Eindhoven University of Technology
摘要：We consider a fluid queue fed by several heterogeneous M/G/infinity input processes with regularly varying session lengths. Under fairly mild assumptions, we derive the exact asymptotic behavior of the stationary workload distribution. In addition, we obtain several asymptotic results for the transient workload distribution, which are applied to obtain a conditional limit theorem for the most probable time to overflow. The results are strongly inspired by the large-deviations idea that overflo...
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作者：Wang, H
作者单位：Brown University
摘要：We consider a continuous time optimal stopping problem with multiple entries and forced exits. The value for such an optimization problem with a general payoff function is solved in closed form under the assumption that the state process is a geometric Brownian motion and the forced exits come in according to a Poisson process. The effect due to the forced exits is analyzed. It is shown that the presence of the forced exits is a true risk (meaning that it will reduce the value and enlarge the ...
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作者：Pennanen, T
作者单位：Aalto University
摘要：In many dynamic stochastic optimization problems in practice, the uncertain factors are best modeled as random variables with an infinite support. This results in infinite-dimensional optimization problems that can rarely be solved directly. Therefore, the random variables (stochastic processes) are often approximated by finitely supported ones (scenario trees), which result in finite-dimensional optimization problems that are more likely to be solvable by available optimization tools. This pa...
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作者：Solan, E
作者单位：Tel Aviv University
摘要：We introduce a new approach to studying subgame-perfect equilibrium payoffs in stochastic games: the differential equations approach. We apply our approach to quitting games with perfect information. Those are sequential games in which at every stage one of n players is chosen; each player is chosen with probability 1/n. The chosen player i decides whether to quit, in which case the game terminates and the terminal payoff is some vector a(i) is an element of R-n, or whether to continue, in whi...
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作者：He, YR; Sun, J
作者单位：Sichuan Normal University; National University of Singapore; Massachusetts Institute of Technology (MIT); National University of Singapore; Nanyang Technological University; Singapore-MIT Alliance for Research & Technology Centre (SMART)
摘要：Error bounds for cone inclusion problems in Banach spaces are established under conditions weaker than Robinson's constraint qualification. The results allow the cone to be more general than the origin and therefore also generalize a classical error bound result concerning equality-constrained sets in optimization. Applications in finite-dimensional differentiable inequalities and in tangent cones are discussed.
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作者：Murota, K
作者单位：University of Tokyo
摘要：Multimodular functions and L-convex functions have been investigated almost independently, but they are, in fact, equivalent objects that can be related through a unimodular coordinate transformation. Some facts known for L-convex functions can be translated to new results for multimodular functions, and vice versa. In particular, the local optimality condition for global optimality found in the literature of multimodular functions should be rectified, and a discrete separation theorem holds f...
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作者：Popescu, I
作者单位：INSEAD Business School
摘要：We provide an optimization framework for computing optimal upper and lower bounds on functional expectations of distributions with special properties, given moment constraints. Bertsimas and Popescu (Optimal inequalities in probability theory: a convex optimization approach. SIAM J Optim. 2004. Forthcoming) have already shown how to obtain optimal moment inequalities for arbitrary distributions via semidefinite programming. These bounds are not sharp if the underlying distributions possess add...
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作者：Caprara, A; Lodi, A; Monaci, M
作者单位：University of Bologna
摘要：We present an asymptotic fully polynomial time approximation scheme for the two-dimensional generalization of Bin Packing, which requires packing (or cutting) a given set of rectangles from the minimum number of square bins, with the further restriction that packing the rectangles in the bins is done in two stages, as is frequently the case in real-world applications. To the best of our knowledge, this is the first approximation scheme for a nontrivial two-dimensional (and real-world) generali...
