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作者：Cooper, William L.; Rangarajan, Bharath
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Target Corporation
摘要：We consider Markov decision processes with unknown transition probabilities and unknown single-period expected cost functions, and we study a method for estimating these quantities from historical or simulated data. The method requires knowledge of the system equations that govern state transitions as well as the single-period cost functions (but not the single-period expected cost functions). The estimation procedure is based upon taking expectations with respect to the empirical distribution...
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作者：Rusmevichientong, Paat; Topaloglu, Huseyin
作者单位：University of Southern California; Cornell University
摘要：We study robust formulations of assortment optimization problems under the multinomial logit choice model. The novel aspect of our formulations is that the true parameters of the logit model are assumed to be unknown, and we represent the set of likely parameter values by a compact uncertainty set. The objective is to find an assortment that maximizes the worst-case expected revenue over all parameter values in the uncertainty set. We consider both static and dynamic settings. The static setti...
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作者：Besbes, Omar; Zeevi, Assaf
作者单位：Columbia University
摘要：We consider a general class of network revenue management problems, where mean demand at each point in time is determined by a vector of prices, and the objective is to dynamically adjust these prices so as to maximize expected revenues over a finite sales horizon. A salient feature of our problem is that the decision maker can only observe realized demand over time but does not know the underlying demand function that maps prices into instantaneous demand rate. We introduce a family of blind ...
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作者：Koole, G. M.; Nielsen, B. F.; Nielsen, T. B.
作者单位：Vrije Universiteit Amsterdam; Technical University of Denmark
摘要：We introduce a new approach to modelling queueing systems where the priority or the routing of customers depends on the time the first customer has waited in the queue. This past waiting time of the first customer in line, W-FIL, is used as the primary variable for our approach. A Markov chain is used for modelling the system where the states represent both the number of free servers and a discrete approximation to W-FIL. This approach allows us to obtain waiting time distributions for complex...
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作者：Golany, Boaz; Kress, Moshe; Penn, Michal; Rothblum, Uriel G.
作者单位：Technion Israel Institute of Technology; United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：A military arms race is characterized by an iterative development of measures and countermeasures. An attacker attempts to introduce new weapons in order to gain some advantage, whereas a defender attempts to develop countermeasures that can mitigate or even eliminate the effects of the weapons. This paper addresses the defender's decision problem: given limited resources, which countermeasures should be developed and how much should be invested in their development to minimize the damage caus...
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作者：He, Simai; Zhang, Jiawei; Zhang, Shuzhong
作者单位：City University of Hong Kong; New York University; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper we consider the problem of maximizing a separable concave function over a polymatroid. More specifically, we study the submodularity of its optimal objective value in the parameters of the objective function. This question is interesting in its own right and is encountered in many applications. But our research has been motivated mainly by a cooperative game associated with the well-known joint replenishment model. By applying our general results on polymatroid optimization, we p...
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作者：Zhang, Minjiao; Kuecuekyavuz, Simge; Yaman, Hande
作者单位：University System of Ohio; Ohio State University; Ihsan Dogramaci Bilkent University
摘要：In this paper, we study a multiechelon uncapacitated lot-sizing problem in series (m-ULS), where the output of the intermediate echelons has its own external demand and is also an input to the next echelon. We propose a polynomial-time dynamic programming algorithm, which gives a tight, compact extended formulation for the two-echelon case (2-ULS). Next, we present a family of valid inequalities for m-ULS, show its strength, and give a polynomial-time separation algorithm. We establish a hiera...
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作者：Halman, Nir; Orlin, James B.; Simchi-Levi, David
作者单位：Hebrew University of Jerusalem; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：The single-item stochastic lot-sizing problem is to find an inventory replenishment policy in the presence of discrete stochastic demands under periodic review and finite time horizon. A closely related problem is the single-period newsvendor model. It is well known that the newsvendor problem admits a closed formula for the optimal order quantity whenever the revenue and salvage values are linear increasing functions and the procurement (ordering) cost is fixed plus linear. The optimal policy...
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作者：Abbas, Ali E.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：Arrow and Pratt introduced a measure of risk aversion the negative ratio of the second to the first derivative of the utility function. This measure has found widespread use in the valuation of uncertain lotteries and in the calculation of the risk premium of an investment. This paper introduces two new measures for characterizing changes in the valuation of uncertain lotteries when their outcomes are modified by a monotone transformation. The first is a characteristic transformation of a util...
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作者：Bertsimas, Dimitris; Gupta, Vishal; Paschalidis, Ioannis Ch.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Boston University
摘要：The Black-Litterman (BL) model is a widely used asset allocation model in the financial industry. In this paper, we provide a new perspective. The key insight is to replace the statistical framework in the original approach with ideas from inverse optimization. This insight allows us to significantly expand the scope and applicability of the BL model. We provide a richer formulation that, unlike the original model, is flexible enough to incorporate investor information on volatility and market...
