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作者：Toth, Sandor F.; Haight, Robert G.; Rogers, Luke W.
作者单位：University of Washington; University of Washington Seattle; United States Department of Agriculture (USDA); United States Forest Service
摘要：Urban growth compromises open space and ecosystem functions. To mitigate the negative effects, some agencies use reserve selection models to identify conservation sites for purchase or retention. Existing models assume that conservation has no impact on nearby land prices. We propose a new integer program that relaxes this assumption via adaptive cost coefficients. Our model accounts for the two key land price feedbacks that arise in markets where conservation competes with development: the am...
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作者：Huh, Woonghee Tim; Levi, Retsef; Rusmevichientong, Paat; Orlin, James B.
作者单位：University of British Columbia; Massachusetts Institute of Technology (MIT); Cornell University
摘要：Using the well-known product-limit form of the Kaplan-Meier estimator from statistics, we propose a new class of nonparametric adaptive data-driven policies for stochastic inventory control problems. We focus on the distribution-free newsvendor model with censored demands. The assumption is that the demand distribution is not known and there are only sales data available. We study the theoretical performance of the new policies and show that for discrete demand distributions they converge almo...
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作者：Hong, L. Jeff; Yang, Yi; Zhang, Liwei
作者单位：Hong Kong University of Science & Technology; University of California System; University of California Irvine; Dalian University of Technology
摘要：When there is parameter uncertainty in the constraints of a convex optimization problem, it is natural to formulate the problem as a joint chance constrained program (JCCP), which requires that all constraints be satisfied simultaneously with a given large probability. In this paper, we propose to solve the JCCP by a sequence of convex approximations. We show that the solutions of the sequence of approximations converge to a Karush-Kuhn-Tucker (KKT) point of the JCCP under a certain asymptotic...
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作者：Coene, Sofie; Spieksma, Frits C. R.; Woeginger, Gerhard J.
作者单位：KU Leuven; Eindhoven University of Technology
摘要：Latency problems are characterized by their focus on minimizing the waiting time for all clients. We study periodic latency problems, a nontrivial extension of standard latency problems. In a periodic latency problem each client has to be visited regularly: there is a server traveling at unit speed, and there is a set of n clients with given positions. The server must visit the clients over and over again, subject to the constraint that successive visits to client i are at most q(i) time units...
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作者：Bertsimas, Dimitris; Gamarnik, David; Rikun, Alexander Anatoliy
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Performance analysis of queueing networks is one of the most challenging areas of queueing theory. Barring very specialized models such as product-form type queueing networks, there exist very few results that provide provable nonasymptotic upper and lower bounds on key performance measures. In this paper we propose a new performance analysis method, which is based on the robust optimization. The basic premise of our approach is as follows: rather than assuming that the stochastic primitives o...
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作者：Ilhan, Taylan; Iravani, Seyed M. R.; Daskin, Mark S.
作者单位：Northwestern University; University of Michigan System; University of Michigan
摘要：Given a set of items with associated deterministic weights and random rewards, the adaptive stochastic knapsack problem (adaptive SKP) maximizes the probability of reaching a predetermined target reward level when items are inserted sequentially into a capacitated knapsack before the reward of each item is realized. This model arises in resource allocation problems that permit or require sequential allocation decisions in a probabilistic setting. One particular application is in obsolescence i...
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作者：Bayraksan, Guezin; Morton, David P.
作者单位：University of Arizona; University of Texas System; University of Texas Austin
摘要：We develop a sequential sampling procedure for a class of stochastic programs. We assume that a sequence of feasible solutions with an optimal limit point is given as input to our procedure. Such a sequence can be generated by solving a series of sampling problems with increasing sample size, or it can be found by any other viable method. Our procedure estimates the optimality gap of a candidate solution from this sequence. If the point estimate of the optimality gap is sufficiently small acco...
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作者：Agrawal, Shipra; Delage, Erick; Peters, Mark; Wang, Zizhuo; Ye, Yinyu
作者单位：Stanford University; Universite de Montreal; HEC Montreal; Stanford University
摘要：Recently, coinciding with and perhaps driving the increased popularity of prediction markets, several novel pari-mutuel mechanisms have been developed such as the logarithmic market-scoring rule (LMSR), the cost-function formulation of market makers, utility-based markets, and the sequential convex pari-mutuel mechanism (SCPM). In this work, we present a convex optimization framework that unifies these seemingly unrelated models for centrally organizing contingent claims markets. The existing ...
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作者：Humair, Salal; Willems, Sean P.
作者单位：Lahore University of Management Sciences; Harvard University; Harvard T.H. Chan School of Public Health; Boston University
摘要：We present two significant enhancements to the guaranteed-service (GS) model for multiechelon safety stock placement. First, we let each stage's expected inventory cost be a generalized nonconcave non-closed-form function of its incoming and outgoing service time. This allows the GS model to incorporate important phenomena such as variable stage times and nonnested review periods, which previous GS literature has not allowed. Second, we optimize the generalized cost GS model for directed acycl...
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作者：Bhandari, Atul; Secomandi, Nicola
作者单位：Carnegie Mellon University
摘要：Static game-theoretic models of bilateral bargaining assume that the seller knows his valuation for the item that is up for sale; that is, how the seller may determine this quantity is exogenous to these models. In this paper, we develop and analyze a stylized Markov decision process that endogenizes the seller's computation of his marginal inventory valuation in an infinite-horizon revenue management setting when each sale occurs according to a given bilateral bargaining mechanism. We use thi...
