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作者：Huang, Kan; Simchi-Levi, David; Song, Miao
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Hong Kong
摘要：Market-makers have the obligation to trade any given amount of assets at quoted bid or ask prices, and their inventories are exposed to the potential loss when the market price moves in an undesirable direction. One approach to reduce the risk brought by price uncertainty is to adjust the inventory at the price of losing potential spread gain. Using stochastic dynamic programming, we show that a threshold inventory control policy is optimal with respect to an exponential utility criterion and ...
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作者：Lichtendahl, Kenneth C., Jr.; Chao, Raul O.; Bodily, Samuel E.
作者单位：University of Virginia
摘要：Making plans about how much to consume and how much to invest in risky assets over an uncertain lifetime is a fundamental economic challenge. The leading models of this planning problem use either additive or habit-forming preferences. For the most part, these models assume an individual is either correlation neutral or correlation seeking in consumption, respectively. In this paper, we introduce two habit-forming, correlation-averse preference models. With these preferences, we find closed-fo...
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作者：Molyboha, Anton; Zabarankin, Michael
作者单位：Stevens Institute of Technology
摘要：A comprehensive framework for diver detection by a hydrophone network in an urban harbor is presented. It includes a signal processing algorithm and a diver detection test and formulates optimal hydrophone placement as a two-stage stochastic optimization problem with respect to different scenarios of underwater noise. The signal processing algorithm identifies sound intensity peaks associated with diver breathing and outputs a diver number measuring the likelihood of diver presence, whereas th...
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作者：Wang, Yongqiang; Fu, Michael C.; Marcus, Steven I.
作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
摘要：Motivated by infinitesimal perturbation analysis (IPA) and the likelihood ratio (LR) method, we derive a new unbiased stochastic derivative estimator for a class of discontinuous payoff functions that arise in many options pricing settings from finance. Our method includes IPA and the LR method as special cases and can be applied to functions of more general forms containing indicator functions. This new estimator can be computed from a single sample path or simulation, whereas existing estima...
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作者：Caro, Felipe; Gallien, Jeremie
作者单位：University of California System; University of California Los Angeles; University of London; London Business School
摘要：Fast-fashion retailers such as Zara offer continuously changing assortments and use minimal in-season promotions. Their clearance pricing problem is thus challenging because it involves comparatively more different articles of unsold inventory with less historical price data points. Until 2007, Zara used a manual and informal decision-making process for determining price markdowns. In collaboration with their pricing team, we since designed and implemented an alternative process relying on a f...
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作者：King, Douglas M.; Jacobson, Sheldon H.; Sewell, Edward C.; Cho, Wendy K. Tam
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; Southern Illinois University System; Southern Illinois University Edwardsville; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Political districting is an intractable problem with significant ramifications for political representation. Districts often are required to satisfy some legal constraints, but these typically are not very restrictive, allowing decision makers to influence the composition of these districts without violating relevant laws. For example, while districts must often comprise a single contiguous area, a vast collection of acceptable solutions (i.e., sets of districts) remains. Choosing the best set...
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作者：Gamarnik, David; Shah, Devavrat; Wei, Yehua
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Distributed, iterative algorithms operating with minimal data structure while performing little computation per iteration are popularly known as message passing in the recent literature. Belief propagation (BP), a prototypical message-passing algorithm, has gained a lot of attention across disciplines, including communications, statistics, signal, processing, and machine learning as an attractive, scalable, general-purpose heuristic for a wide class of optimization and statistical inference pr...
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作者：Sobel, Matthew J.; Babich, Volodymyr
作者单位：University System of Ohio; Case Western Reserve University; Georgetown University
摘要：We study lot-size policies in a serial, multistage manufacturing/inventory system with two key generalizations, namely (1) random yields at each production stage and (2) an autoregressive demand process. Previous research shows that the optimal policies in models with random yields (even in models with a single installation) lack the familiar order-up-to structure and are not myopic. Thus, dynamic programming algorithms are needed to compute optimal policies, and one encounters the curse of di...
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作者：Jain, Apurva; Moinzadeh, Kamran; Zhou, Yong-Pin
作者单位：University of Washington; University of Washington Seattle; University of Hong Kong
摘要：In this paper, we discuss the replenishment decision of seasonal products in a two-echelon distribution system consisting of a supplier and multiple retailers. Because of long manufacturing lead time, the supplier orders its entire stock for the season well in advance. The retailers, on the other hand, can replenish their inventory from the supplier throughout the season as demand realizes. Demand at each retailer follows a Poisson process. Each retailer order incurs a fixed cost, and the usua...
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作者：Pinker, Edieal J.
作者单位：University of Rochester
