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作者：Caramia, Massimiliano; Giordani, Stefano
作者单位：University of Rome Tor Vergata
摘要：Allocating resources in grid computing requires local and external schedulers to communicate in order to achieve an efficient management of the resources themselves. To this end, some economic/market-based models have been introduced in the literature, where users, external schedulers, and local schedulers negotiate to optimize their objectives. In this paper, we propose a tender/contract-net model for the grid resource allocation problem, showing the interactions among the involved actors. Th...
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作者：Andradottir, Sigrun; Ayhan, Hayriye; Down, Douglas G.
作者单位：University System of Georgia; Georgia Institute of Technology; McMaster University
摘要：We consider tandem lines with finite buffers and flexible, heterogeneous servers that are synergistic in that they work more effectively in teams than on their own. Our objective is to determine how the servers should be assigned dynamically to tasks in order to maximize the long-run average throughput. In particular, we investigate when it is better to take advantage of synergy among servers, rather than exploiting the servers' special skills, to achieve the best possible system throughput. W...
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作者：Conforti, Michele; Cornuejols, Gerard; Zambelli, Giacomo
作者单位：University of Padua; Carnegie Mellon University; University of London; London School Economics & Political Science
摘要：Recently it has been shown that minimal inequalities for a continuous relaxation of mixed-integer linear programs are associated with maximal lattice-free convex sets. In this paper, we show how to lift these inequalities for integral nonbasic variables by considering maximal lattice-free convex sets in a higher dimensional space. We apply this approach to several examples. In particular, we identify cases in which the lifting is unique.
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作者：Chen, Binyuan; Kuecuekyavuz, Simge; Sen, Suvrajeet
作者单位：University of Arizona; University System of Ohio; Ohio State University
摘要：In this paper, we give a finite disjunctive programming procedure to obtain the convex hull of general mixed-integer linear programs (MILP) with bounded integer variables. We propose a finitely convergent convex hull tree algorithm that constructs a linear program that has the same optimal solution as the associated MILP. In addition, we combine the standard notion of sequential cutting planes with ideas underlying the convex hull tree algorithm to help guide the choice of disjunctions to use ...
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作者：Wang, Xiaoqun; Sloan, Ian H.
作者单位：Tsinghua University; University of New South Wales Sydney; Hong Kong Polytechnic University
摘要：Quasi-Monte Carlo (QMC) methods are playing an increasingly important role in the pricing of complex financial derivatives. For models in which the prices of the underlying assets are driven by Brownian motions, the performance of QMC methods is known to depend crucially on the construction of Brownian motions. This paper focuses on the impact of various constructions. Although the Brownian bridge (BB) construction often yields very good results, as Papageorgiou pointed out, there are financia...
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作者：Contreras, Ivan; Cordeau, Jean-Francois; Laporte, Gilbert
作者单位：Concordia University - Canada; Universite de Montreal; Universite de Montreal; HEC Montreal; Universite de Montreal
摘要：This paper describes an exact algorithm capable of solving large-scale instances of the well-known uncapacitated hub location problem with multiple assignments. The algorithm applies Benders decomposition to a strong path-based formulation of the problem. The standard decomposition algorithm is enhanced through the inclusion of several features such as the use of a multicut reformulation, the generation of strong optimality cuts, the integration of reduction tests, and the execution of a heuri...
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作者：Nasiry, Javad; Popescu, Ioana
作者单位：Hong Kong University of Science & Technology; INSEAD Business School
摘要：We study the dynamic pricing implications of a new, behaviorally motivated reference price mechanism based on the peak-end memory mode. This model suggests that consumers anchor on a reference price that is a weighted average of the lowest and most recent prices. Loss-averse consumers are more sensitive to perceived losses than gains relative to this reference price. We find that a range of constant pricing policies is optimal for the corresponding dynamic pricing problem. This range is wider ...
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作者：Giesecke, Kay; Kim, Baeho
作者单位：Stanford University; Korea University
摘要：Collateralized debt obligations, which are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stochastic methods to measure the risk of positions in collateralized debt obligations and related instruments ...
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作者：Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
摘要：We consider a particular instance of a stochastic multi-leader multi-follower equilibrium problem in which players compete in the forward and spot markets in successive periods. Proving the existence of such equilibria has proved difficult, as has the construction of globally convergent algorithms for obtaining such points. By conjecturing a relationship between forward and spot decisions, we consider a variant of the original game and relate the equilibria of this game to a related simultaneo...
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作者：Berling, Peter; Martinez-de-Albeniz, Victor
作者单位：Lund University; University of Navarra; IESE Business School
摘要：In this paper we consider the problem of a firm that faces a stochastic (Poisson) demand and must replenish from a market in which prices fluctuate, such as a commodity market. We describe the price evolution as a continuous stochastic process and we focus on commonly used processes suggested by the financial literature, such as the geometric Brownian motion and the Ornstein-Uhlenbeck process. It is well known that under variable purchase price, a price-dependent base-stock policy is optimal. ...
