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作者：Deng, Tianhu; Shen, Zuo-Jun Max; Shanthikumar, J. George
作者单位：Tsinghua University; University of California System; University of California Berkeley; University of California System; University of California Berkeley; Purdue University System; Purdue University
摘要：We study an inventory system wherein a customer may leave the seller's market after experiencing an inventory stockout. Traditionally, researchers and practitioners assume a single penalty cost to model this customer behavior of stockout aversion. Recently, a stream of researchers explicitly model this customer behavior and support the traditional penalty cost approach. We enrich this literature by studying the statistical learning of service-dependent demand. We build and solve four models: a...
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作者：Barrieu, Pauline; Fehr, Max
作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
摘要：In this paper we refer to the requirement for industrialized countries to reach a domestic target for greenhouse emissions, as ratified in the Kyoto Protocol, and propose a market-consistent model of futures price dynamics for cap-and-trade schemes designed in the spirit of the European Union Emissions Trading Scheme (EU ETS). Historical price dynamics for the EU ETS suggest that both European emission allowance (EUA) and certified emission reduction (CER) certificates, generated by a nondomes...
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作者：Karger, David R.; Oh, Sewoong; Shah, Devavrat
作者单位：Massachusetts Institute of Technology (MIT); University of Illinois System; University of Illinois Urbana-Champaign
摘要：Crowdsourcing systems, in which numerous tasks are electronically distributed to numerous information pieceworkers, have emerged as an effective paradigm for human-powered solving of large-scale problems in domains such as image classification, data entry, optical character recognition, recommendation, and proofreading. Because these low-paid workers can be unreliable, nearly all such systems must devise schemes to increase confidence in their answers, typically by assigning each task multiple...
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作者：Barnhart, Cynthia; Fearing, Douglas; Vaze, Vikrant
作者单位：Massachusetts Institute of Technology (MIT); University of Texas System; University of Texas Austin; Dartmouth College
摘要：Many of the existing methods for evaluating an airline's on-time performance are based on flight-centric measures of delay. However, recent research has demonstrated that passenger delays depend on many factors in addition to flight delays. For instance, significant passenger delays result from flight cancellations and missed connections, which themselves depend on a significant number of factors. Unfortunately, lack of publicly available passenger travel data has made it difficult for researc...
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作者：Han, Qiaoming; Du, Donglei; Zuluaga, Luis F.
作者单位：Nanjing University; Zhejiang University of Finance & Economics; University of New Brunswick; Lehigh University
摘要：Scarf's max-min order formula for the risk-neutral and ambiguity-averse newsvendor problem is a classical result in the field of inventory management. In this article, we extend Scarf's formula by deriving an analogous closed-form order formula for the risk-and ambiguity-averse newsvendor problem. Specifically, we provide and analyze the newsvendor order quantity that maximizes the worst-case expected profit versus risk trade-off (risk-averse) when only the mean and standard deviation of the p...
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作者：Mitchell, Daniel; Feng, Haolin; Muthuraman, Kumar
作者单位：Singapore University of Technology & Design; Sun Yat Sen University; University of Texas System; University of Texas Austin
摘要：This paper examines the effect that a central bank's interventions have on longer term interest rate securities by examining a stochastic short rate process that can be controlled by the central bank. Rather than investigate the motivations for the intervention, we assume that the bank is able to quantify its preferences and tolerances for various rates. We allow for a very general class of stochastic processes for the short rate, and most of the popular models in literature fall within this c...
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作者：Kanet, John J.
作者单位：University System of Ohio; University of Dayton
摘要：In 1969 H. Emmons provided three theorems (Emmons 1-3) for determining precedence relations between pairs of jobs for the single-machine tardiness problem. We show here a fourth straightforward theorem that uses the information when the jobs in the pair are both known to precede a third job in an optimum sequence. The new theorem augments the three Emmons theorems and is shown to be a generalization of a theorem by Elmaghraby.
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作者：Battarra, Maria; Erdogan, Guenes; Vigo, Daniele
作者单位：University of Southampton; University of Southampton; University of Bologna
摘要：This study presents new exact algorithms for the clustered vehicle routing problem (CluVRP). The CluVRP is a generalization of the capacitated vehicle routing problem (CVRP), in which the customers are grouped into clusters. As in the CVRP, all the customers must be visited exactly once, but a vehicle visiting one customer in a cluster must visit all the remaining customers therein before leaving it. Based on an exponential time preprocessing scheme, an integer programming formulation for the ...
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作者：Chen, Jingnan; Feng, Liming; Peng, Jiming; Ye, Yinyu
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Houston System; University of Houston; Stanford University
摘要：In this paper, we consider an optimal portfolio deleveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and temporary price impact, the optimal deleveraging problem reduces to a nonconvex quadratic program with quadratic and box constraints. Analytical results on the optimal deleveraging strategy are obtained. Th...
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作者：Federgruen, Awi; Yang, Nan
作者单位：Columbia University; Washington University (WUSTL)
摘要：We consider a general infinite horizon inventory control model that combines demand and supply risks and the firm's ability to mitigate the supply risks by diversifying its procurement orders among a set of N potential suppliers. Supply risks arise because only a random percentage of any given replenishment order is delivered as useable units. The suppliers are characterized by the price they charge and the distribution of their yield factor. Assuming unsatisfied demand is backlogged, the firm...
