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作者：Xie, Jing; Frazier, Peter I.
作者单位：Cornell University
摘要：We consider the problem of efficiently allocating simulation effort to determine which of several simulated systems have mean performance exceeding a threshold of known value. Within a Bayesian formulation of this problem, the optimal fully sequential policy for allocating simulation effort is the solution to a dynamic program. When sampling is limited by probabilistic termination or sampling costs, we show that this dynamic program can be solved efficiently, providing a tractable way to compu...
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作者：Lopes, Leo; Smith-Miles, Kate
作者单位：SAS Institute Inc; Monash University
摘要：Generating valid synthetic instances for branch problems-those that contain a core problem like knapsack or graph coloring, but add several complications-is hard. It is even harder to generate instances that are applicable to the specific goals of an experiment and help to support the claims made. This paper presents a methodology for tuning instance generators of branch problems so that synthetic instances are similar to real ones and are capable of eliciting different behaviors from solvers....
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作者：Chen, Xin; Hu, Peng; He, Simai
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Huazhong University of Science & Technology; City University of Hong Kong
摘要：This paper establishes a new preservation property of supermodularity in a class of two-dimensional parametric optimization problems, where the constraint sets may not be lattices. This property and its extensions unify several results in the literature and provide powerful tools to analyze a variety of operations models including a two-product coordinated pricing and inventory control problem with cross-price effects that we use as an illustrative example.
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作者：Noyan, Nilay; Rudolf, Gabor
作者单位：Sabanci University
摘要：For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area. Existing studies focus on extending univariate stochastic dominance rules to the multivariate case. However, enforcing multivariate stochastic dominance constraints can often be ...
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作者：Podinovski, Victor V.; Bouzdine-Chameeva, Tatiana
作者单位：University of Warwick
摘要：It is known that the incorporation of weight restrictions in models of data envelopment analysis may result in their infeasibility. In our paper we investigate this effect in detail. We show that the infeasibility is only one of several possible outcomes that point to a particular problem with weight restrictions. For example, the use of weight restrictions may also lead to zero or negative efficiency scores of some units. Removing problematic units from the data set does not necessarily remov...
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作者：Cadenillas, Abel; Lakner, Peter; Pinedo, Michael
作者单位：University of Alberta; Ajou University; New York University
摘要：We assume that the cumulative consumer demand for an item follows a Brownian motion, with both the drift and the variance parameters modulated by a continuous-time Markov chain that represents the regime of the economy. The management of the company would like to maintain the inventory level as close as possible to a target inventory level and would also like to produce at a rate that is as close as possible to a target production rate. The company is penalized for deviations from the target l...
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作者：Washburn, Alan
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：This paper considers abstract election games motivated by the United States Electoral College. There are two political parties, and the electoral votes in each state go to the party that spends the most money there, with an adjustment for a head start that one party or the other may have in that state. The states have unequal numbers of electoral votes, and elections are decided by majority rules. Each party has a known budget, and much depends on the information that informs how that budget i...
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作者：Broder, Josef; Rusmevichientong, Paat
作者单位：Cornell University; University of Southern California
摘要：We consider a stylized dynamic pricing model in which a monopolist prices a product to a sequence of T customers who independently make purchasing decisions based on the price offered according to a general parametric choice model. The parameters of the model are unknown to the seller, whose objective is to determine a pricing policy that minimizes the regret, which is the expected difference between the seller's revenue and the revenue of a clairvoyant seller who knows the values of the param...
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作者：Deng, Shaojie; Giesecke, Kay; Lai, Tze Leung
作者单位：Microsoft; Stanford University; Stanford University
摘要：We provide a sequential Monte Carlo method for estimating rare-event probabilities in dynamic, intensity-based point process models of portfolio credit risk. The method is based on a change of measure and involves a resampling mechanism. We propose resampling weights that lead, under technical conditions, to a logarithmically efficient simulation estimator of the probability of large portfolio losses. A numerical analysis illustrates the features of the method and contrasts it with other rare-...
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作者：Chen, Li; Lee, Hau L.
作者单位：Duke University; Stanford University
摘要：The bullwhip effect, or demand information distortion, has been a subject of both theoretical and empirical studies in the operations management literature. In this paper, we develop a simple set of formulas that describe the traditional bullwhip measure as a combined outcome of several important drivers, such as finite capacity, batch-ordering, and seasonality. Our modeling framework is descriptive in nature as it features certain plausible approximations that are commonly employed in practic...
