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作者：Shapiro, Alexander
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：In this paper we consider the notion of rectangularity of a set of probability measures from a somewhat different point of view. We define rectangularity as a property of dynamic decomposition of a distributionally robust stochastic optimization problem and show how it relates to the modern theory of coherent risk measures. Consequently, we discuss robust formulations of multistage stochastic optimization problems in frameworks of stochastic programming, stochastic optimal control, and Markov ...
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作者：Blanchet, Jose; Gallego, Guillermo; Goyal, Vineet
作者单位：Columbia University; Hong Kong University of Science & Technology
摘要：Assortment planning is an important problem that arises in many industries such as retailing and airlines. One of the key challenges in an assortment planning problem is to identify the right model for the substitution behavior of customers from the data. Error in model selection can lead to highly suboptimal decisions. In this paper, we consider a Markov chain based choice model and show that it provides a simultaneous approximation for all random utility based discrete choice models includin...
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作者：Ardestani-Jaafari, Amir; Delage, Erick
作者单位：Universite de Montreal; HEC Montreal
摘要：Robust optimization is a methodology that has gained a lot of attention in the recent years. This is mainly due to the simplicity of the modeling process and ease of resolution even for large scale models. Unfortunately, the second property is usually lost when the cost function that needs to be robustified is not concave (or linear) with respect to the perturbing parameters. In this paper we study robust optimization of sums of piecewise linear functions over polyhedral uncertainty set. Given...
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作者：Saghafian, Soroush; Van Oyen, Mark P.
作者单位：Harvard University; University of Michigan System; University of Michigan
摘要：To increase resilience in supply chains, we investigate the optimal design of flexibility in a backup system. We model the dynamics of disruptions as Markov chains, and consider a multiproduct, multisupplier supply chain under dynamic disruption risks. Using our model, we first show that a little flexibility in the backup system can go a long way in mitigating dynamic disruption risks. This raises an important and fundamental question in designing flexibility in the backup system: to achieve t...
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作者：Ryzhov, Ilya O.
作者单位：University System of Maryland; University of Maryland College Park
摘要：We consider a ranking and selection problem with independent normal observations, and we analyze the asymptotic sampling rates of expected improvement (EI) methods in this setting. Such methods often perform well in practice, but a tractable analysis of their convergence rates is difficult because of the nonlinearity and nonconvexity of the EI calculations. We present new results indicating that, for known sampling noise, variants of EI produce asymptotic simulation allocations that are essent...
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作者：Amini, Hamed; Minca, Andreea
作者单位：University of Miami; Cornell University
摘要：We propose a framework for testing the possibility of large cascades in financial networks. This framework accommodates a variety of specifications for the probabilities of emergence of contagious links conditional on a macroeconomic shock, where a contagious link leads to the default of a bank following the default of its counterparty. Under general contagion mechanisms and incomplete information, the financial network is modeled as an inhomogeneous random graph, where the conditional probabi...
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作者：Gopalakrishnan, Ragavendran; Doroudi, Sherwin; Ward, Amy R.; Wierman, Adam
作者单位：Carnegie Mellon University; University of Southern California; California Institute of Technology
摘要：Traditionally, research focusing on the design of routing and staffing policies for service systems has modeled servers as having fixed (possibly heterogeneous) service rates. However, service systems are generally staffed by people. Furthermore, people respond to workload incentives; that is, how hard a person works can depend both on how much work there is and how the work is divided between the people responsible for it. In a service system, the routing and staffing policies control such wo...
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作者：Stenius, Olof; Karaarslan, Ayse Gonul; Marklund, Johan; de Kok, A. G.
作者单位：Lund University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Eindhoven University of Technology
摘要：Sustainable and efficient management of a distribution system requires coordination between transportation planning and inventory control decisions. In this context, we consider a one warehouse multi-retailer inventory system with a time-based shipment consolidation policy at the warehouse. This means that there are fixed costs associated with each shipment, and retailer orders are consolidated and shipped periodically to groups of retailers sharing the same delivery routes. Customer demand is...
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作者：Alptekinoglu, Aydin; Semple, John H.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Southern Methodist University
摘要：We investigate the use of a canonical version of a discrete choice model due to Daganzo (1979) [Daganzo C (1979) Multinomial Probit: The Theory and Its Application to Demand Forecasting (Academic Press, New York).] in optimal pricing and assortment planning. In contrast to multinomial and nested logit (the prevailing choice models used for optimizing prices and assortments), this model assumes a negatively skewed distribution of consumer utilities, an assumption we motivate by conceptual argum...
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作者：Bertsimas, Dimitris; King, Angela
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Linear regression models are traditionally built through trial and error to balance many competing goals such as predictive power, interpretability, significance, robustness to error in data, and sparsity, among others. This problem lends itself naturally to a mixed integer quadratic optimization (MIQO) approach but has not been modeled this way because of the belief in the statistics community that MIQO is intractable for large scale problems. However, in the last 25 years (1991-2015), algori...
