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作者：Hall, Nicholas G.; Long, Daniel Zhuoyu; Qi, Jin; Sim, Melvyn
作者单位：University System of Ohio; Ohio State University; Chinese University of Hong Kong; Hong Kong University of Science & Technology; National University of Singapore
摘要：We consider a project selection problem where each project has an uncertain return with partially characterized probability distribution. The decision maker selects a feasible subset of projects so that the risk of the portfolio return not meeting a specified target is minimized. To model and evaluate this risk, we propose and justify a general performance measure, the underperformance riskiness index (URI). We define a special case of the URI, the entropic underperformance riskiness index (EU...
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作者：Pinker, Edieal J.
作者单位：Yale University
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作者：Averbakh, Igor; Berman, Oded; Kalcsics, Joerg; Krass, Dmitry
作者单位：University of Toronto; University Toronto Scarborough; University of Toronto; Helmholtz Association; Karlsruhe Institute of Technology
摘要：We consider facility location problems where the demand is continuously and uniformly distributed over a convex polygon with m vertices in the rectilinear plane, n facilities are already present, and the goal is to find an optimal location for an additional facility. Based on an analysis of structural properties of incremental Voronoi diagrams, we develop polynomial exact algorithms for five conditional location problems. The developed methodology is applicable to a variety of other facility l...
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作者：Huh, Woonghee Tim; Li, Hongmin
作者单位：University of British Columbia; Arizona State University; Arizona State University-Tempe
摘要：We develop a solution approach to the centralized pricing problem of a nested attraction model with a multistage tree structure. We identify conditions under which the optimal solution can be uniquely determined, and we characterize the optimal solution as a fixed point of a single variable. In the special case of a multistage nested logit model, we show the impact of asymmetry in price sensitivity and adjustment index (also known as the dissimilarity index) and we derive a closed-form solutio...
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作者：Cai, Ning; Song, Yingda; Kou, Steven
作者单位：Hong Kong University of Science & Technology; Chinese Academy of Sciences; University of Science & Technology of China, CAS; National University of Singapore; National University of Singapore
摘要：A general framework is proposed for pricing both continuously and discretely monitored Asian options under one-dimensional Markov processes. For each type (continuously monitored or discretely monitored), we derive the double transform of the Asian option price in terms of the unique bounded solution to a related functional equation. In the special case of continuous-time Markov chain (CTMC), the functional equation reduces to a linear system that can be solved analytically via matrix inversio...
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作者：Pang, Jong-Shi; Su, Che-Lin; Lee, Yu-Ching
作者单位：University of Southern California; University of Chicago; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Discrete-choice demand models are important and fundamental tools for understanding consumers' choice behavior and for analyzing firms' operations and pricing strategies. In these models, products are often described as a vector of observed characteristics. A consumer chooses the product that maximizes her utility, assumed to be a function of the observed product characteristics and the consumer's preference over these product characteristics. One central task in the demand estimation literatu...
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作者：Wang, Xuan; Zhang, Jiawei
作者单位：New York University; New York University; NYU Shanghai
摘要：Process flexibility has been widely applied in many industries as a competitive strategy to improve responsiveness to demand uncertainty. An important flexibility concept is the long chain proposed by Jordan and Graves (1995) [Jordan WC, Graves SC (1995) Principles on the benefits of manufacturing process flexibility. Management Sci. 41(4):577-594.]. The effectiveness of the long chain has been investigated via numerical as well as theoretical analysis for specific probability distributions of...
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作者：Park, Beomsoo; Van Roy, Benjamin
作者单位：Stanford University; Stanford University; Stanford University
摘要：We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current and prior activity, and unpredictable random effects. The trader must learn coefficients of a price impact model while trading. We propose a new method for simultaneous execution and learning-the confidence-triggered regularized adaptive certainty equivalent (...
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作者：Hanasusanto, Grani A.; Kuhn, Daniel; Wiesemann, Wolfram
作者单位：Imperial College London; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Imperial College London
摘要：Over the last two decades, robust optimization has emerged as a computationally attractive approach to formulate and solve single-stage decision problems affected by uncertainty. More recently, robust optimization has been successfully applied to multistage problems with continuous recourse. This paper takes a step toward extending the robust optimization methodology to problems with integer recourse, which have largely resisted solution so far. To this end, we approximate two-stage robust bin...
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作者：Federgruen, Awi; Wang, Min
作者单位：Columbia University; Drexel University
摘要：In this paper, we show how any model with a general shelf-age-dependent holding cost and delay-dependent backlogging cost structure may be transformed into an equivalent model in which all expected inventory costs are level dependent. We develop our equivalency results, first, for periodic review models with full backlogging of stockouts. These equivalency results permit us to characterize the optimal procurement strategy in various settings and to adopt known algorithms to compute such strate...
