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作者：Aouad, Ali; Levi, Retsef; Segev, Danny
作者单位：University of London; London Business School; Massachusetts Institute of Technology (MIT); University of Haifa
摘要：We study the joint assortment planning and inventory management problem, where stock-out events elicit dynamic substitution effects, described by the multinomial logit (MNL) choice model. Special cases of this setting have been extensively studied in recent literature, notably the static assortment planning problem. Nevertheless, to our knowledge, the general formulation is not known to admit efficient algorithms with analytical performance guarantees before this work, and most of its computat...
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作者：Embrechts, Paul; Liu, Haiyan; Wang, Ruodu
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Finance Institute (SFI); Michigan State University; Michigan State University; University of Waterloo
摘要：We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their preferences. The family of RVaR includes the value-at-risk (VaR) and the expected shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first establish an inequality for RVaR-based risk aggregation, showing that RVaR satisfies a special form of subadditivity. Then, the Pareto-optimal risk shari...
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作者：Hanasusanto, Grani A.; Kuhn, Daniel
作者单位：University of Texas System; University of Texas Austin; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Adaptive robust optimization problems are usually solved approximately by restricting the adaptive decisions to simple parametric decision rules. However, the corresponding approximation error can be substantial. In this paper we show that two-stage robust and distributionally robust linear programs can often be reformulated exactly as conic programs that scale polynomially with the problem dimensions. Specifically, when the ambiguity set constitutes a 2-Wasserstein ball centered at a discrete...
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作者：El-Amine, Hadi; Bish, Ebru K.; Bish, Douglas R.
作者单位：George Mason University; Virginia Polytechnic Institute & State University
摘要：Blood products are essential components of any healthcare system, and their safety, in terms of being free of transfusion-transmittable infections, is crucial. While the Food and Drug Administration (FDA) in the United States requires all blood donations to be tested for certain infection types, it does not dictate which particular tests should be used by blood centers. Multiple FDA-licensed blood screening tests are available for each infection type, and screening tests are imperfectly reliab...
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作者：Pu, Shi; Garcia, Alfredo
作者单位：Arizona State University; Arizona State University-Tempe; Texas A&M University System; Texas A&M University College Station
摘要：In recent years, the paradigm of cloud computing has emerged as an architecture for computing that makes use of distributed (networked) computing resources. In this paper, we consider a distributed computing algorithmic scheme for stochastic optimization, which relies on modest communication requirements among processors and most importantly, does not require synchronization. Specifically, we analyze a scheme with N > 1 independent threads each implementing a stochastic gradient algorithm. The...
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作者：Fazel-Zarandi, Mohammad M.; Kaplan, Edward H.
作者单位：Yale University; Massachusetts Institute of Technology (MIT); Yale University; Yale University
摘要：The first-come, first-served (FCFS) stochastic matching model, where each server in an infinite sequence is matched to the first eligible customer from a second infinite sequence, developed from queueing problems addressed by Kaplan (1984) in the context of public housing assignments. The goal of this model is to determine the matching rates between eligible customer types and server types, that is, the fraction of all matches that occur between type-i customers and type- j servers. This model...
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作者：Gauthier, Jean Bertrand; Desrosiers, Jacques; Luebbecke, Marco E.
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; RWTH Aachen University
摘要：We develop an algorithmic framework for linear programming guided by dual optimality considerations. The solution process moves from one feasible solution to the next according to an exchange mechanism that is defined by a direction and a resulting step size. Part of the direction is obtained via a pricing problem devised in primal and dual forms. From the dual perspective, one maximizes the minimum reduced cost that can be achieved from splitting the set of dual variables in two subsets: one ...
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作者：Mills, Alex F.; Argon, Nilay Tanik; Ziya, Serhan
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：In the aftermath of a disaster, emergency responders must transport a large number of patients to medical facilities, using limited transportation resources (such as ambulances). Decisions about where to send the patients are typically made in an ad hoc manner by responders on the scene. Using a Markov decision process formulation, we develop two heuristic policies that use limited information such as mean travel times and congestion levels to determine (a) how to allocate ambulances to patien...
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作者：Peng, Yijie; Fu, Michael C.; Hu, Jian-Qiang; Heidergott, Bernd
作者单位：Peking University; University System of Maryland; University of Maryland College Park; Fudan University; Vrije Universiteit Amsterdam
摘要：In this paper, we propose a new unbiased stochastic derivative estimator in a framework that can handle discontinuous sample performances with structural parameters. This work extends the three most popular unbiased stochastic derivative estimators: (1) infinitesimal perturbation analysis (IPA), (2) the likelihood ratio (LR) method, and (3) the weak derivative method, to a setting where they did not previously apply. Examples in probability constraints, control charts, and financial derivative...
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作者：Kiatsupaibul, Seksan; Smith, Robert L.; Zabinsky, Zelda B.
作者单位：Chulalongkorn University; University of Michigan System; University of Michigan; University of Washington; University of Washington Seattle
摘要：Optimizing the performance of complex systems modeled by stochastic computer simulations is a challenging task, partly because of the lack of structural properties (e.g., convexity). This challenge is magnified by the presence of random error whereby an adaptive algorithm searching for better designs can at times mistakenly accept an inferior design. In contrast to performing multiple simulations at a design point to estimate the performance of the design, we propose a framework for adaptive s...
