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作者：Lichtendahl, Kenneth C., Jr.; Grushka-Cockayne, Yael; Pfeifer, Phillip E.
作者单位：University of Virginia
摘要：When several individuals are asked to forecast an uncertain quantity, they often face implicit or explicit incentives to be the most accurate. Despite the desire to elicit honest forecasts, such competition induces forecasters to report strategically and nontruthfully. The question we address is whether the competitive crowd's forecast (the average of strategic forecasts) is more accurate than the truthful crowd's forecast (the average of truthful forecasts from the same forecasters). We analy...
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作者：Chen, Yiwei; Farias, Vivek F.
作者单位：Renmin University of China; Massachusetts Institute of Technology (MIT)
摘要：We consider the classical single-product dynamic pricing problem allowing the scale of demand intensity to be modulated by an exogenous market size stochastic process. This is a natural model of dynamically changing market conditions. We show that for a broad family of Gaussian market-size processes, simple dynamic pricing rules that are essentially agnostic to the specification of this market-size process perform provably well. The pricing policies we develop are shown to compensate for forec...
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作者：Ozener, Okan Orsan; Ergun, Ozlem; Savelsbergh, Martin
作者单位：Ozyegin University; University System of Georgia; Georgia Institute of Technology; University of Newcastle
摘要：Vendor-managed inventory (VMI) replenishment is a collaboration between a supplier and its customers, where the supplier is responsible for managing the customers' inventory levels. In the VMI setting we consider, the supplier exploits synergies between customers, e. g., their locations, usage rates, and storage capacities, to reduce distribution costs. Due to the intricate interactions between customers, calculating a fair cost-to-serve for each customer is a daunting task. However, cost-to-s...
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作者：Toriello, Alejandro; Uhan, Nelson A.
作者单位：University System of Georgia; Georgia Institute of Technology; United States Department of Defense; United States Navy; United States Naval Academy
摘要：We consider cooperative traveling salesman games with nonnegative asymmetric costs satisfying the triangle inequality. We construct a stable cost allocation with budget balance guarantee equal to the Held-Karp integrality gap for the asymmetric traveling salesman problem, using the parsimonious property and a previously unknown connection to linear production games. We also show that our techniques extend to larger classes of network design games. We then provide a simple example showing that ...
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作者：Stolyar, Alexander L.
作者单位：AT&T; Alcatel-Lucent
摘要：We consider a service system model primarily motivated by the problem of efficient assignment of virtual machines to physical host machines in a network cloud, so that the number of occupied hosts is minimized. There are multiple input flows of different type customers, with a customer mean service time depending on its type. There is an infinite number of servers. A server-packing configuration is the vector k = {k(i)}, where k(i) is the number of type i customers the server contains. Packing...
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作者：Giesecke, Kay; Smelov, Dmitry
作者单位：Stanford University
摘要：This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C-1, the volatility function to be C-2, and the jump intensity function to be locally bounded. No further structure is imposed on these functions. The method leads to unbiased simulation estimators of security prices, transition densities,...
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作者：Gao, Jianjun; Li, Duan
作者单位：Shanghai Jiao Tong University; Chinese University of Hong Kong
摘要：One long-standing challenge in both the optimization and investment communities is to devise an efficient algorithm to select a small number of assets from an asset pool such that a portfolio objective is optimized. This cardinality constrained investment situation naturally arises due to the presence of various forms of market friction, such as transaction costs and management fees, or even due to the consideration of mental cost. Unfortunately, the combinatorial nature of such a portfolio se...
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作者：Glasserman, Paul; Xu, Xingbo
作者单位：Columbia University; Columbia University
摘要：Portfolio selection is vulnerable to the error-amplifying effects of combining optimization with statistical estimation and model error. For dynamic portfolio control, sources of model error include the evolution of market factors and the influence of these factors on asset returns. We develop portfolio control rules that are robust to this type of uncertainty, applying a stochastic notion of robustness to uncertainty in model dynamics. In this stochastic formulation, robustness reflects uncer...
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作者：Carlsson, John Gunnar; Delage, Erick
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Universite de Montreal; HEC Montreal
摘要：The problem of coordinating a fleet of vehicles so that all demand points on a territory are serviced and the workload is most evenly distributed among the vehicles is a hard one. For this reason, it is often an effective strategy to first divide the service region and impose that each vehicle is only responsible for its own subregion. This heuristic also has the practical advantage that over time, drivers become more effective at serving their territory and customers. In this paper, we assume...
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作者：Shapiro, Alexander; Tekaya, Wajdi; Soares, Murilo Pereira; da Costa, Joari Paulo
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation where the data process can be naturally separated into two components: one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst-case) point of view. We formulate this in a time consistent way and derive the corresponding dynamic programming equations. To solve the obtained multistage problem, we dev...
