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作者：Philpott, Andy; de Matos, Vitor; Finardi, Erlon
作者单位：University of Auckland; Universidade Federal de Santa Catarina (UFSC)
摘要：We consider a class of multistage stochastic linear programs in which at each stage a coherent risk measure of future costs is to be minimized. A general computational approach based on dynamic programming is derived that can be shown to converge to an optimal policy. By computing an inner approximation to future cost functions, we can evaluate an upper bound on the cost of an optimal policy, and an outer approximation delivers a lower bound. The approach we describe is particularly useful in ...
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作者：Li, Lingfei; Linetsky, Vadim
作者单位：Chinese University of Hong Kong; Northwestern University
摘要：This paper proposes a new approach to solve finite-horizon optimal stopping problems for a class of Markov processes that includes one-dimensional diffusions, birth-death processes, and jump diffusions and continuous-time Markov chains obtained by time-changing diffusions and birth-and-death processes with Levy subordinators. When the expectation operator has a purely discrete spectrum in the Hilbert space of square-integrable payoffs, the value function of a discrete optimal stopping problem ...
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作者：Chen, Youhua (Frank); Xue, Weili; Yang, Jian
作者单位：City University of Hong Kong; Nanjing University; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：We consider a stochastic inventory control problem in which a buyer makes procurement decisions while facing periodic random demand and two supply sources, namely, a long-term contract supplier and a spot market. The contract between the buyer and the supplier partially shields the latter from the vicissitudes of the spot market, in that the price paid by the buyer to the supplier is only partially linked to the spot price at the moment. After fulfilling the minimum-order commitment with the s...
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作者：Dey, Debabrata; Kumar, Subodha
作者单位：University of Washington; University of Washington Seattle; Texas A&M University System; Texas A&M University College Station; Mays Business School
摘要：Information systems play a very important role in managerial decision making within modern organizations. While making different types of decisions (at operational, tactical, and strategic levels), managers are increasingly relying on information gleaned from various databases, data warehouses, and data streams feeding them. The quality of organizational decisions, therefore, often depends on the quality of the information derived from these databases and data streams, and a manager is able to...
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作者：Shu, Jia; Chou, Mabel C.; Liu, Qizhang; Teo, Chung-Piaw; Wang, I-Lin
作者单位：Southeast University - China; National University of Singapore; National Cheng Kung University
摘要：We develop practical operations research models to support decision making in the design and management of public bicycle-sharing systems. We develop a network flow model with proportionality constraints to estimate the flow of bicycles within the network and the number of trips supported, given an initial allocation of bicycles at each station. We also examine the effectiveness of periodic redistribution of bicycles in the network to support greater flow, and the impact on the number of docks...
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作者：Abhishek, Vibhanshu; Hosanagar, Kartik
作者单位：Carnegie Mellon University; University of Pennsylvania
摘要：We study optimal bidding strategies for advertisers in sponsored search auctions. In general, these auctions are run as variants of second-price auctions but have been shown to be incentive incompatible. Thus, advertisers have to be strategic about bidding. Uncertainty in the decision-making environment, budget constraints, and the presence of a large portfolio of keywords makes the bid optimization problem nontrivial. We present an analytical model to compute the optimal bids for keywords in ...
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作者：Buchbinder, Niv; Kimbrel, Tracy; Levi, Retsef; Makarychev, Konstantin; Sviridenko, Maxim
作者单位：Tel Aviv University; National Science Foundation (NSF); Massachusetts Institute of Technology (MIT); Microsoft; University of Warwick
摘要：In this paper, we study an online make-to-order variant of the classical joint replenishment problem (JRP) that has been studied extensively over the years and plays a fundamental role in broader planning issues, such as the management of supply chains. In contrast to the traditional approaches of the stochastic inventory theory, we study the problem using competitive analysis against a worst-case adversary. Our main result is a 3-competitive deterministic algorithm for the online version of t...
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作者：Brown, David B.; Smith, James E.
作者单位：Duke University
摘要：This paper was motivated by the problem of developing an optimal policy for exploring an oil and gas field in the North Sea. Where should we drill first? Where do we drill next? In this and many other problems, we face a trade-off between earning (e.g., drilling immediately at the sites with maximal expected values) and learning (e.g., drilling at sites that provide valuable information) that may lead to greater earnings in the future. These sequential exploration problems resemble a multiarme...
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作者：Trapp, Andrew C.; Prokopyev, Oleg A.; Schaefer, Andrew J.
作者单位：Worcester Polytechnic Institute; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We propose a level-set approach to characterize the value function of a pure linear integer program with inequality constraints. We study theoretical properties of our characterization and show how they can be exploited to optimize a class of stochastic integer programs through a value function reformulation. Specifically, we develop algorithmic approaches that solve two-stage multidimensional knapsack problems with random budgets, yielding encouraging computational results.
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作者：Marden, Jason R.; Wierman, Adam
作者单位：University of Colorado System; University of Colorado Boulder; California Institute of Technology
摘要：Game-theoretic tools are becoming a popular design choice for distributed resource allocation algorithms. A central component of this design choice is the assignment of utility functions to the individual agents. The goal is to assign each agent an admissible utility function such that the resulting game possesses a host of desirable properties, including scalability, tractability, and existence and efficiency of pure Nash equilibria. In this paper we formally study this question of utility de...
