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作者：Reindorp, Matthew; Tanrisever, Fehmi; Lange, Anne
作者单位：Drexel University; Eindhoven University of Technology; Ihsan Dogramaci Bilkent University; Technical University of Darmstadt
摘要：We study a supply chain where a retailer buys from a supplier who faces financial constraints. Informational problems about the supplier's demand prospects and production capabilities restrict her access to capital. By committing to a minimum purchase quantity, the retailer can mitigate these informational problems and expand the supplier's feasible production set. We assume a newsvendor model of operations and analyze the strategic interaction of the two parties as a sequential game. Key para...
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作者：Ke, Rongzhu; Ryan, Christopher Thomas
作者单位：Hong Kong Baptist University; University of Chicago
摘要：We develop a simple sufficient condition for an optimal contract of a moral hazard problem to be monotone in the output signal. Existing results on monotonicity require conditions on the output distribution (namely, the monotone likelihood ratio property (MLRP)) and additional conditions to guarantee that agent's decision is approachable via the first-order approach of replacing that problem with its first-order conditions. We know of no positive monotonicity results in the setting where the f...
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作者：Olivares-Nadal, Alba V.; DeMiguel, Victor
作者单位：Universidad Pablo de Olavide; University of London; London Business School
摘要：We prove that the portfolio problem with transaction costs is equivalent to three different problems designed to alleviate the impact of estimation error: a robust portfolio optimization problem, a regularized regression problem, and a Bayesian portfolio problem. Motivated by these results, we propose a data-driven approach to portfolio optimization that tackles transaction costs and estimation error simultaneously by treating the transaction costs as a regularization term to be calibrated. Ou...
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作者：Feldman, Jacob; Topaloglu, Huseyin
作者单位：Washington University (WUSTL)
摘要：We study capacitated assortment problems when customers choose under the multinomial logit model with nested consideration sets. In this choice model, there are multiple customer types, and a customer of a particular type is interested in purchasing only a particular subset of products. We use the term consideration set to refer to the subset of products that a customer of a particular type is interested in purchasing. The consideration sets of customers of different types are nested in the se...
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作者：Zhen, Jianzhe; den Hertog, Dick; Sim, Melvyn
作者单位：Tilburg University; National University of Singapore
摘要：We demonstrate how adjustable robust optimization (ARO) problems with fixed recourse can be cast as static robust optimization problems via Fourier-Motzkin elimination (FME). Through the lens of FME, we characterize the structures of the optimal decision rules for a broad class of ARO problems. A scheme based on a blending of classical FME and a simple linear programming technique that can efficiently remove redundant constraints is developed to reformulate ARO problems. This generic reformula...
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作者：Bo, Yang; Dawande, Milind; Janakiraman, Ganesh
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：In a recent paper, Johnson et al. (2014) [Johnson K, Simchi-Levi D, Sun P (2014) Analyzing scrip systems. Oper. Res. 62(3):524-534.] use an infinitely repeated game with discounting, among a set of homogeneous players, to model a scrip system. In each period, a randomly chosen player requests service; all the other players have a choice of whether or not to volunteer to provide service. Among the players who volunteer, the service provider is chosen using the minimum-scrip rule: a player with ...
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作者：Simar, Leopold; Zelenyuk, Valentin
作者单位：Universite Catholique Louvain; University of Queensland; University of Queensland
摘要：Applied researchers in the field of efficiency and productivity analysis often need to estimate and make inference about aggregate efficiency, such as industry efficiency or aggregate efficiency of a group of distinct firms within an industry (e.g., public versus private firms, regulated versus unregulated firms, etc.). While there are approaches to obtain point estimates for such important measures, no asymptotic theory has been derived for it. This is the gap in the literature we fill with t...
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作者：Nadarajah, Selvaprabu; Secomandi, Nicola
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Carnegie Mellon University
摘要：We formulate the merchant trading of energy in a network of storage and transport assets as a Markov decision process with uncertain energy prices, generalizing known models. Because of the intractability of our model, we develop heuristics and both lower and dual (upper) bounds on the optimal policy value estimated within Monte Carlo simulation. We achieve tractability using linear optimization, extending near optimal approximate dynamic programming techniques for the case of a single storage...
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作者：Huang, Junfei; Gurvich, Itai
作者单位：Chinese University of Hong Kong
摘要：Central-limit (Brownian) approximations are widely used for the performance analysis and optimization of queueing networks because of their tractability relative to the original queueing models. The stationary distributions of the approximations are used as proxies for those of the queues. The convergence of suitably scaled and centered processes provides mathematical support for the use of these Brownian models. As with the central limit theorem, to establish convergence, one must impose assu...
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作者：Goh, Joel; Bayati, Mohsen; Zenios, Stefanos A.; Singh, Sundeep; Moore, David
作者单位：National University of Singapore; Harvard University; Stanford University; Stanford University; Stanford University
摘要：Cost-effectiveness studies of medical innovations often suffer from data inadequacy. When Markov chains are used as a modeling framework for such studies, this data inadequacy can manifest itself as imprecision in the elements of the transition matrix. In this paper, we study how to compute maximal and minimal values for the discounted value of the chain (with respect to a vector of state-wise costs or rewards) as these uncertain transition parameters jointly vary within a given uncertainty se...
