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作者：Wang, Liao; Yao, David D.
作者单位：Columbia University
摘要：Demand for many products may depend on the price of a tradable asset or on the economy in general. For example, demand for equipment that plants or harvests corn correlates with the corn price on the commodity market, and discount stores experienced increased sales revenue during the last recession. Thus, we model demand as a stochastic process with two components: in addition to the usual Gaussian component reflecting demand volatility, there is a drift component taking the form of a function...
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作者：Dai, J. G.; Shi, Pengyi
作者单位：Cornell University; Purdue University System; Purdue University
摘要：We analyze a time-varying M-peri/Geo(2timeScale)/N queueing system. The arrival process is periodic Poisson. The service time of a customer has components in different time scales: length of stay (LOS) in days and departure time (h(dis)) in hours. This queueing system has been used to study patient flows from the emergency department (ED) to hospital inpatient wards. In that setting, the LOS of a patient is simply the number of days she spends in a ward, and her departure time h(dis) is the di...
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作者：Bergman, David; Imbrogno, Jason
作者单位：University of Connecticut
摘要：In this paper, an analytical approach to National Football League (NFL) survival pools Is investigated. This paper Introduces Into the literature NFL survival pools and presents optimization models for determining strategies. Computational results indicate that planning only partway through the season yields the highest survival probabilities, which dominate millions of randomly generated strategies.
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作者：Molavi, Pooya; Eksin, Ceyhun; Ribeiro, Alejandro; Jadbabaie, Ali
作者单位：Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia Institute of Technology; University of Pennsylvania
摘要：We study a dynamic game in which short-run players repeatedly play a symmetric, strictly supermodular game whose payoffs depend on a fixed unknown state of nature. Each short-run player inherits the beliefs of his immediate predecessor in addition to observing the actions of the players in his social neighborhood in the previous stage. Because of the strategic complementary between their actions, players have the incentive to coordinate with others and learn from them. We show that in any Mark...
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作者：Papier, Felix
作者单位：ESSEC Business School
摘要：We study the problem of allocating supply under advance demand information. We consider a company that must allocate limited inventory to different markets that open sequentially. To reduce uncertainty, the company receives advance demand information and updates forecasts about its markets each time it makes an allocation decision. We study the value and optimal use of this information. This research is motivated by an agrifood manufacturer that operates in several European countries. We devel...
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作者：Du, Chenhao; Cooper, William L.; Wang, Zizhuo
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：We consider a seller's problem of determining revenue-maximizing prices for an assortment of products that exhibit network effects. Customers make purchase decisions according to a multinomial logit choice model, modified-to incorporate network effects-so that the utility each individual customer gains from purchasing a particular product depends on the market's total consumption of that product. In the setting of homogeneous products, we show that if the network effect is comparatively weak, ...
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作者：Lorca, Alvaro; Sun, X. Andy; Litvinov, Eugene; Zheng, Tongxin
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The growing uncertainty associated with the increasing penetration of wind and solar power generation has presented new challenges to the operation of large-scale electric power systems. Motivated by these challenges, we present a multistage adaptive robust optimization model for the most critical daily operational problem of power systems, namely, the unit commitment (UC) problem, in the situation where nodal net electricity loads are uncertain. The proposed multistage robust UC model takes i...
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作者：Qin, Likuan; Linetsky, Vadim
作者单位：Northwestern University
摘要：This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process, or BRP) and the stochastic discount factor (SDF) is a positive semimartingale multiplicative functional of X. A key result is the uniqueness theorem for a positive eigenfunction of the pricing operator such that X is recurrent under a new probability measure associated with this eigenfunctio...
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作者：Dentcheva, Darinka; Martinez, Gabriela; Wolfhagen, Eli
作者单位：Stevens Institute of Technology; Mayo Clinic
摘要：We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend the notion of a linear multivariate order, adding flexibility with respect to the controlled portion of the distributions. We propose several methods for the numerical solution of these problems based on augmented Lagrangian framework and analyze their convergence. The methods construct finite-di...
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作者：Oreshkin, Boris N.; Regnard, Nazim; L'Ecuyer, Pierre
作者单位：Universite de Montreal
摘要：We propose, develop, and compare new stochastic models for the daily arrival rate in a call center. Following standard practice, the day is divided into time periods of equal length (e.g., 15 or 30 minutes), the arrival rate is assumed random but constant in time in each period, and the arrivals are from a Poisson process, conditional on the rate. The random rate for each period is taken as a deterministic base rate (or expected rate) multiplied by a random busyness factor having mean 1. Model...
